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Risk Factor Count Z

Updated annualData needs: mediumshort only

2014

Campbell, J. L., Chen, H., Dhaliwal, D. S., Lu, H., Steele, L. B. (2014). "The Information Content of Mandatory Risk Factor Disclosures in Corporate Filings." Review of Accounting Studies, 19(1), 396-455. Also Hoberg-Lewis 2017 J.Acct.PP.

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In plain terms

When a company lists materially more discrete risks in its 10-K vs prior year, the stock tends to underperform over the next 3-6 months.

How it works

Distinct risk-factor count in 10-K Item 1A — disclosure-density measure — is a forward indicator of realized volatility and short-side returns when it rises sharply over baseline.

Live results

0 times picked on its own · 3 times inside a blend (3 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 3 such blended picks (3 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)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
SEC 10k sections
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: ~2-3% over 3-6mo on top-quartile
Tested over: T+1 to T+180d

Campbell et al 2014: top-quartile risk-factor count increase ~2-3% underperformance over 3-6mo.

Related families

Risk Factor 10K Item1a DeltaFilings, Insiders & Ownership

Spike in Item 1A risk-factor changes predicts ~2% underperformance over the next quarter.

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.

Legal Proceedings Item3 DeltaFilings, Insiders & Ownership

When litigation disclosures grow Y/Y in the 10-K, the stock tends to underperform for 6 months.

Explore Risk Factor Count Z on alphactor.ai

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