Altana Director Alignment Research Europe
Daily Filings per Country
As historic returns on a naïve trading strategy mirroring all directors’ dealings are substantially in line with relevant index returns, further analysis is required to distinguish between meaningful and meaningless transactions. Since the adoption of the European Commission’s Market Abuse Directive in 2004, directors (i.e., large shareholders and natural and legal persons discharging managerial responsibilities and persons closely associated with them) have to inform the relevant market authority when conducting transactions in own shares and derivatives of the issuer they have inside knowledge of. The Market Abuse Regulation of 2014 established further legal harmonization, disclosure requirements, and shorter notification periods. Other non-EU European countries adopted similar laws.
The adoption of extensive EU-widely harmonized laws enables the ADAS fund strategy to be based on detailed country-level analyses exploiting a wealth of historical data leading to a sophisticated understanding of different categories of directors’ dealings. Accordingly, only a subset of all directors’ dealings are taken into account to inform profitable trades. This allows the fund strategy to outperform its benchmark over the long run while keeping the volatility at comparatively lower levels. All transaction data is collected from the most reliable sources including financial service regulators, accredited data providers, and the issuers themselves, and stored on Altana Wealth servers for analysis and trading purposes. The data is collected in real time on a continuous basis.
The algorithm which is used to decide on the informativeness of directors’ dealings is based on a broad range of proprietary research. Our research, for instance, revealed the impact of market capitalisation, industry sectors, transaction sizes, and national law enforcement levels on abnormal returns following directors’ dealings. Furthermore, our studies revealed the impact of corporate strategies and information communication policies on directors’ trading. Recent Altana Wealth research on insider sentiment also showed that in the EU, director sentiment in terms of aggregated transaction volumes is significantly negatively associated with future market returns, which implies that profitable directors’ transactions are based on company- and industry-specific knowledge rather than national macro developments pertaining to all companies.
Open Market and Derivative Purchase/Sell Data
The Buy-Sell Ratio is the ratio of director purchases in both the cash market and the derivative market over directors’ sales transactions.
The Filing and Transaction data illustrates the magnitude of filings and transactions that are stored on the Altana Wealth servers and analyzed by the algorithm. Every filing has at least one corresponding transaction.
Insider Position Distribution
The Position Distribution illustrates the different categories of insiders that are being monitored. A Significant Shareholder is country specific and is characterized by having substantial interest in the company.
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