Signal Statistics

Event Signal Performance Dashboard

Backtested performance of DART disclosure event types across market conditions. Alpha = stock return − KOSPI/KOSDAQ benchmark. Trimmed mean excludes top/bottom 5% outliers.

Updated: Jul 17, 2026

Event Type	n	Hit 5D	Hit 20D	Alpha 5D	Alpha 20D	Median α	MDD	Grade	Best Condition
Buyback	400	47.4%	54.0%	+1.0%	-0.4%	-2.1%	-9.9%	C	Small CapBull Mkt
M&A	734	43.5%	49.2%	-2.6%	-3.5%	-4.2%	-12.7%	C	Large CapBull Mkt
Dilution	2,855	53.0%	58.2%	-0.4%	+1.9%	-1.0%	-14.3%	C	Large CapBull Mkt
Legal	402	46.6%	31.0%	-2.9%	-7.9%	-6.1%	-11.9%	C	Small CapBull Mkt
Other	10,495	52.2%	47.9%	-0.9%	-3.0%	-4.2%	-11.5%	C	Large CapBull Mkt
Contract	870	49.5%	53.4%	-0.7%	+2.6%	-0.5%	-12.1%	C	Mid CapBull Mkt
Earnings	3,762	43.0%	57.9%	+0.2%	-2.3%	-3.6%	-11.5%	C	Large CapBull Mkt
Dividend	643	48.7%	47.6%	-0.4%	+0.6%	-0.8%	-10.1%	C	Large CapBull Mkt
Disposal	186	44.6%	68.1%	-0.4%	-1.3%	-3.4%	-9.2%	D	Small CapBull Mkt
Capex	63	52.5%	62.5%	-0.8%	+3.8%	-0.1%	-17.9%	D

Methodology Notes

Alpha = stock return − benchmark (KOSPI for KOSPI-listed, KOSDAQ for KOSDAQ-listed). T0 = first trading day after filing date.
Trimmed alpha removes top/bottom 5% per event type to reduce Korean small-cap outlier distortion.
Signal grade: risk-adjusted return (median 5D ÷ volatility, Sharpe-style) × sample confidence (n/300). A≥75 / B≥60 / C≥45 / D≥30.
Market cap buckets: Large > ₩1T · Mid ₩100B–₩1T · Small < ₩100B at time of filing.
Market regime: KOSPI 20-trading-day prior return. UP > +5% · DOWN < −5%.
Volatility regime: KOSPI 20-day rolling daily return std. High > 1.2% · Low < 0.6%.
Min. 30 events per cell (contextual views). Min. 50 events (overview). Data: DART filings Jan 2025–present.

Past performance does not guarantee future results. This is statistical analysis, not investment advice.

Event Type	n	Hit 5D	Hit 20D	Alpha 5D	Alpha 20D	Median α	MDD	Grade	Best Condition
Buyback	400	47.4%	54.0%	+1.0%	-0.4%	-2.1%	-9.9%	C	Small CapBull Mkt
M&A	734	43.5%	49.2%	-2.6%	-3.5%	-4.2%	-12.7%	C	Large CapBull Mkt
Dilution	2,855	53.0%	58.2%	-0.4%	+1.9%	-1.0%	-14.3%	C	Large CapBull Mkt
Legal	402	46.6%	31.0%	-2.9%	-7.9%	-6.1%	-11.9%	C	Small CapBull Mkt
Other	10,495	52.2%	47.9%	-0.9%	-3.0%	-4.2%	-11.5%	C	Large CapBull Mkt
Contract	870	49.5%	53.4%	-0.7%	+2.6%	-0.5%	-12.1%	C	Mid CapBull Mkt
Earnings	3,762	43.0%	57.9%	+0.2%	-2.3%	-3.6%	-11.5%	C	Large CapBull Mkt
Dividend	643	48.7%	47.6%	-0.4%	+0.6%	-0.8%	-10.1%	C	Large CapBull Mkt
Disposal	186	44.6%	68.1%	-0.4%	-1.3%	-3.4%	-9.2%	D	Small CapBull Mkt
Capex	63	52.5%	62.5%	-0.8%	+3.8%	-0.1%	-17.9%	D