Insider Purchases

Every Monday this strategy scores every listed company by adding up the Insider Score of each open-market purchase its insiders reported in the preceding year, after weighting each one by how old it is: a filing counts fully on the day it appears, half after 45 days, a quarter after 90, and about six per cent after half a year. It holds the ten highest in equal weights. A company that enters the ranking is bought on the next trading day; one that drops out is sold; one that stays is left alone. The ranking is measured on notification dates only, and only on filings that were public before that Monday.

It starts at USD 100,000 on Jan 4, 2021 — the day the rule first had something to act on — and the Stoxx Europe 600 stands next to it from the same amount on the same day. Each trade costs 0.1% one way, 0.2% round trip.

What it does not do

• The score is our own model, not a rating anyone else recognizes. It weighs the transaction, the insider and the company; it is calculated once per filing, on the day that filing became public, and it never looks at what the share price did afterwards.
• It is long-only. There is no short leg and no leverage; a company leaving the ranking is sold, never sold short.
• The backtest is in-sample. The model was designed and calibrated on the same filings the curve runs over, so it says what this rule would have produced on data we already had — it is not a forecast, and it is not an out-of-sample test.
• The notification date is mostly an assumption. The Dutch regulator does not publish when a filing arrived, so for almost every row we use the transaction date plus three working days: the latest moment the law allows. That is deliberately late, so the strategy never acts earlier than it could have.
• It is one register. These are filings by insiders at companies supervised by the Dutch AFM — six in ten of the positions trade in Amsterdam, the rest elsewhere in Europe and beyond. It is not a European index and not a global one.
• Prices are converted. The portfolio is measured in dollars, so a euro, krone, zloty, rand or pound price is converted at the ECB rate of that day — which means part of the return is the currency, not the company.

Every figure here is a calculation over filed forms, made afterwards, under assumptions that are written down. A backtest says what a rule would have produced on filings that were already public. The definitions are on the methodology page.