The data is updated on a daily basis at midnight EST.

US:

green Bullish

yellow Neutral

red

 Bearish

The Director Sentiment indicator provides some information about the general bullish or bearish market sentiment conveyed by the aggregation of US directors’ dealings. The graphical indicator is based on the ratio of purchases and sales of stock. The indicated value is the standardized 30 day moving average of this value used to smoothen out transaction spikes.

Comments:

The research is based on analyzing all the director events we identify. A director event is defined as the aggregated director activity on a stock.

Our research shows that blindly trading all the director events does not lead to significant out-performance as directors trade for many reasons. The historical returns from such a trading strategy are very much in line with the S&P 500 index returns.

Data Providers:

All the data used for the Altana Director Dealings products is sourced directly form the Securities and Exchange Commission website.

Altana Director Alignment Research US

Data Collection & Analysis

As historic returns on a naïve trading strategy mirroring all directors’ dealings are substantially in line with S&P 500 index returns, further analysis is required to distinguish meaningful and meaningless transactions. In the US, the first legislation pertaining to insider trading was introduced with the 1934 Securities Exchange Act. The early adoption of such laws enables the ADAS fund strategy to be based on analyses of 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 directly collected from the Securities and Exchange Commission (SEC) 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. Most recent research, for instance, revealed that in the US, director sentiment in terms of aggregated number of shares traded can significantly predict future market returns.

Filings per State

Number of Filings per State

Open Market and Derivative Purchase/Sell Data

Buy & Sell Activity

The Buy & Sell Activity table illustrates the volume of transactions pertaining to cash market purchases, cash market sales, and combined cash and derivative markets purchases (i.e., All Buy) after applying proprietary filters to eliminate transactions of low informational value. Only companies with a market capitalization of at least $250 million are included in this data set.

10 year Averages

The data is for t-3 business days as the SEC allows 2 business days to file.

 

Director Sentiment Ratio

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.

 

Filing and Transaction Levels

Filings & 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

Director, Officer or Significant Owner

The Position Distribution illustrates the different categories of insiders that are being monitored. A Significant Owner is characterized by having at least a 10% interest in the company.

 

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©2019 Altana Wealth

Altana Wealth Limited is authorised and regulated by the "Financial Conduct Authority". Altana Wealth SAM is authorised and regulated by the "Commission de Contrôle des Activités Financières".

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