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: May 21, 2026

Event Type	n	Hit 5D	Hit 20D	Alpha 5D	Alpha 20D	Median α	MDD	Grade	Best Condition
Contract	665	55.1%	53.8%	-1.2%	+2.3%	-0.4%	-11.9%	C	Large CapBull Mkt
Dilution	2,429	57.2%	58.5%	-0.5%	+1.9%	-1.0%	-14.2%	C	Large CapBull Mkt
Buyback	278	50.0%	53.6%	-0.7%	-0.5%	-2.6%	-9.2%	C	Large CapBull Mkt
Earnings	3,213	46.8%	57.9%	+1.1%	-2.2%	-3.6%	-10.8%	C	Large CapBull Mkt
Other	10,384	52.5%	48.0%	-0.8%	-2.8%	-4.0%	-11.4%	C	Large CapBull Mkt
Dividend	597	50.1%	47.6%	-0.5%	+0.5%	-1.1%	-9.9%	C	Large CapBull Mkt
Legal	385	47.6%	32.4%	-2.2%	-5.7%	-4.6%	-11.7%	C	Small CapBull Mkt
M&A	615	46.7%	49.1%	-2.6%	-3.5%	-4.2%	-12.5%	C	Large CapBull Mkt
Disposal	131	53.1%	68.1%	-0.9%	-0.4%	-2.8%	-9.0%	D	Small CapBull Mkt
Capex	53	57.1%	62.5%	+1.6%	+3.9%	-1.1%	-16.0%	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
Contract	665	55.1%	53.8%	-1.2%	+2.3%	-0.4%	-11.9%	C	Large CapBull Mkt
Dilution	2,429	57.2%	58.5%	-0.5%	+1.9%	-1.0%	-14.2%	C	Large CapBull Mkt
Buyback	278	50.0%	53.6%	-0.7%	-0.5%	-2.6%	-9.2%	C	Large CapBull Mkt
Earnings	3,213	46.8%	57.9%	+1.1%	-2.2%	-3.6%	-10.8%	C	Large CapBull Mkt
Other	10,384	52.5%	48.0%	-0.8%	-2.8%	-4.0%	-11.4%	C	Large CapBull Mkt
Dividend	597	50.1%	47.6%	-0.5%	+0.5%	-1.1%	-9.9%	C	Large CapBull Mkt
Legal	385	47.6%	32.4%	-2.2%	-5.7%	-4.6%	-11.7%	C	Small CapBull Mkt
M&A	615	46.7%	49.1%	-2.6%	-3.5%	-4.2%	-12.5%	C	Large CapBull Mkt
Disposal	131	53.1%	68.1%	-0.9%	-0.4%	-2.8%	-9.0%	D	Small CapBull Mkt
Capex	53	57.1%	62.5%	+1.6%	+3.9%	-1.1%	-16.0%	D