QUANTAMENTAL RESEARCH BRIEF
MAY 2020
Authors
Richard Tortoriello
212-438-9506
richard.tortoriello@spglobal.com
Zack Yang
312-233-7139
zack.yang@spglobal.com
Temi Oyeniyi, CFA
312-233-7151
toyeniyi@spglobal.com
Never Waste a Crisis: Following the Smart Money
through Beneficial Ownership Filings
Investors looking for ideas amid the recent market downturn may profit from an understanding of
beneficial ownership filings: SEC schedules 13D and 13G. Large shareholders must file a 13D or 13G
when they acquire 5% or more of a voting class of a corporation’s shares.
1
These purchases, therefore,
often represent high conviction buys by activists, industry insiders, hedge funds, etc. Our previous
investor activism research shows that investors can benefit by following activists’ lead: a portfolio of
stocks that activists had targeted outperformed the market by over 8% annually and target shareholders
saw rising dividend payments and share buybacks post-activism.
This report examines recent 13D and 13G filings, and spotlights four purchases of target companies
with high historical operating cash flows and below average dividend payments, characteristics of
companies typically targeted by activists. High cash flow generation can be used to fund both corporate
growth and shareholder payouts. Figure 1 shows buy zones (in green) for four select 13D filings.
Figure 1. Four Recent 13D Filings, with Purchasing Firm (on Vertical Axis) and Buy Zone (Green Highlight)
Source: S&P Global Market Intelligence Quantamental Research. Past performance is not a guarantee of future results. Data as
of May 6, 2020.
Within the list of recent 13D filings (Figure 2, below), a few themes stand out:
Recession-resistant industries, including biotechnology (Mersana Therapeutics and Aravive)
and software (Cloudera and Comvault Systems).
Stay-at-home-friendly names: GameStop (video gaming), Meet Group (online social
networking), Wayfair (online home furnishings), Bed Bath & Beyond.
Food sellers: Chefs’ Warehouse (specialty foods), Farmer Bros. (coffee, tea & culinary).
Beaten-down energy names: Occidental Petroleum, Sprague Resources (oil & gas storage).
1
13Ds are filed by investors who are seeking control, while 13Gs are shorter forms that are filed by passive investors.
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Figure 2. Select Recent 13D Filings, Including Current Percentage of Shares Outstanding Held
Source: S&P Global Market Intelligence Quantamental Research. Data as of May 19, 2020.
Note that percentage of shares outstanding have been updated to reflect current ownership levels, and may differ from filing.
Spotlight: Notable Recent 13D/G Filings
This section looks in-depth at recent filings by four prominent investment funds in companies with above-
average cash flow generation. See the Appendix for a list of recent 13G filings.
1. Starwood Capital - Extended Stay America
Filing Date Target Company Name Symbol
Market Cap
($mm)
Purchaser Name
Hedge
Fund?
% of Shares
O/S (5/19)
4/17/2020 Mersana Therapeutics, Inc. MRSN
584 Bain Capital Life Sciences Investors, LLC No 5.85%
4/17/2020 Wayfair Inc. W
17,062 Great Hill Partners, LP No 6.00%*
4/16/2020 Extended Stay America, Inc. STAY
1,757 Starwood Capital Operations, LLC No 8.52%
4/16/2020 Aravive, Inc. ARAV
189 Eshelman Ventures, LLC No 5.84%
4/15/2020 Cloudera, Inc. CLDR
2,341 Icahn Capital LP No 17.72%
4/10/2020 GameStop Corp. GME
318 Scion Asset Management, LLC Yes 4.34%
4/8/2020 Sprague Resources LP SRLP
297 Oaktree Capital Management, L.P. Yes 6.00%
4/2/2020 Bed Bath & Beyond Inc. BBBY 700 Legion Partners Asset Management, LLC Yes 5.41%**
3/30/2020 The Chefs' Warehouse, Inc. CHEF
355 Legion Partners Asset Management, LLC Yes 2.72%
4/1/2020 Farmer Bros. Co. FARM 136 Trigran Investments, Inc. Yes 12.91%
3/30/2020 Commvault Systems, Inc. CVLT 1,980 Starboard Value LP Yes 9.91%
3/24/2020 Winnebago Industries, Inc. WGO 1,506 Punch Card Capital, LLC Yes 5.00%
3/19/2020 The Meet Group, Inc. MEET 442 Magnetar Capital, LLC Yes 4.92%
3/12/2020 Occidental Petroleum Corporation OXY 12,060 Icahn Capital LP No 9.85%
*Includes convertible senior notes convertible to 3,448,276 common shares.
**Includes 1,150,000 shares from long call options currently exercisable.
Insider Trade Highlights
Starwood’s 8.5% purchase of STAY follows the
company’s losing bid for STAY, to Centerbridge
Partners, in a 2010 bankruptcy auction. STAY owns 631
hotels in the mid-priced, extended stay segment.
Foot traffic at STAY’s properties fell by 62% in March,
year-to-year, narrower than the 73% average decline for
non-REIT hotel peers (foot traffic data is from Airsage).
STAY has withdrawn 2020 guidance. On May 6, STAY
reported Q4 normalized EPS of $0.07, $0.02 ahead of
estimates. Revenue of $266mm was also above views.
STAY’s CEO bought 50,000 shares in March (below).
Aggregate Purchase Price $136,788,930
# of Shares Purchased 15,121,847
% of Outstanding Shares 8.53%
Average Purchase Price $9.05
Purchase Price Range $6.98 - $10.90
Purchase Date Range 3/4/2020 - 4/15/2020
% 60-Day Purchase/Total 100.00%
Starwood Capital 60-Day Investments (13D)
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2. Icahn Capital – Occidental Petroleum
3. Public Investment Fund - Carnival Corporation
4. D.E. Shaw – Yelp
5. Data
The data from this report are sourced from S&P Global Market Intelligence’s Ownership database, which
covers equity ownership for over 99.7% of global public and private (delisted) companies comprising
more than 36,000 institutional investment firms, 45,000 mutual funds, and 300,000 insider/individual
owners. Data is captured from over 1,500 relevant documents, including SEC forms 13F, 13G, 13D, and
insider trading forms. History is available back to 2004.
Target Company Market Capitalization ($m) Number of Shares Holding Date % Owned
Carnival Corporation $10,324 43,508,895 3/26/2020 8.20%
Public Investment Fund: Recent 13G Holdings
Icahn Capital is an investment subsidiary of Icahn
Enterprises, chaired by billionaire investor Carl Icahn.
Filing showed that Icahn Enterprises owned a 7.9% stake
in OXY and Carl Icahn personally owned 9.9%.
On May 5, OXY reported a Q1 normalized loss per share
of $0.52, $0.10 better than analyst views. Oil revenues
were 9% below expectations.
Icahn Capital also filed a 13D for Cloudera, Inc., on April
15, indicating 17.7% ownership.
Hedge fund D.E. Shaw announced 5% holdings in Yelp Inc. (YELP) through 13G filings in mid-April. It also
filed a 13-G for microcap stock Blue Apron (APRN).
YELP withdrew its 2020 guidance in March. On May 7, YELP posted Q1 normalized EPS of $0.23, in-line
with consensus, and down 39% from a year earlier. Revenue of $250 million (up 6%, year-to-year) was
10% above estimates. Prior to withdrawing guidance YELP had expected 8-10% revenue growth in Q1 and
10-12% growth for 2020.
The Public Investment Fund, an investment arm of the government of Saudi Arabia, disclosed an initial
8.2% stake in CCL in a 13G filing on April 6. The fund has since reduced its ownership stake, to 4.6%,
according to a recent 13F filing.
On April 6, Randall Weisenburger, a Carnival director, purchased 1.25mm shares in CCL for $10 million.
CCL has announced that a limited number of cruises may take place starting in August of this year.
CCL has suspended dividend payments and stock repurchases, and has recently raised over $6 billion
through debt and equity issuance.
Aggregate Purchase Price $963,333,345
# of Shares Purchased 66,055,417
% of Outstanding Shares 7.92%
Average Purchase Price $14.58
Purchase Price Range $12.68 - $17.11
Purchase Date Range 3/9/2020 - 3/11/2020
% 60-Day Purchase/Total 74.53%
Icahn Capital 60-Day Investments (13D)
Target Company Market Capitalization ($m) Number of Shares Holding Date % Owned
Yelp $1,591 3,593,836 4/3/2020 5.00%
D.E. Shaw: Recent 13G Holdings
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Estimates data are from S&P Global Estimates, a comprehensive, standardized database of global,
real-time financial forecasting measures on upgrades/downgrades, target price revisions, market-
moving news or significant developments for public companies worldwide, and estimates based on the
projections, models, analysis, and research of analysts, brokers, and the companies themselves.
Conclusion
Uncertainty caused by the COVID-19 pandemic has created potential investment opportunities in
specific industries and stocks. Investors looking for investment ideas can “follow the smart money” by
reviewing recent 13D and 13G filings. Since 13Ds and/or 13Gs must be filed when an investor acquires
5% or more of a company’s outstanding shares, such filings represent conviction buys. In addition, our
research has shown that following in the footsteps of activist investors has historically been a profitable
strategy.
See the Appendix for a list of recent 13G filings, including Citadel’s purchase of Tesla and Morgan
Stanley’s purchase of Dave & Buster’s. For those interested in what the “smart money” is doing, 13D
and 13G filings, along with insider filings, are a good place to start. We also note that investment
managers with at least $100 million in assets were required to file first-quarter 13Fs (equity holdings)
with the SEC by May 15, 2020. For more on institutional holdings, see our 2016 research paper An IQ
Test for the “Smart Money.”
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Appendix – Select Recent 13G Filings (Passive Investments)
Source: S&P Global Market Intelligence Quantamental Research. Data as of May 19, 2020.
Note that percentage of shares outstanding have been updated to reflect current ownership levels, and may differ from filing.
Filing Date Target Company Name Symbol
Market Cap
($mm)
Purchaser Name
Hedge
Fund?
% of Shares
O/S (5/19)
5/1/2020 CarGurus, Inc. CARG 2,677 Morgan Stanley, Investment Banking and Brokerage Investments No 5.12%
5/1/2020 Forescout Technologies, Inc. FSCT 1,031 Beryl Capital Management LLC Yes 5.69%
4/28/2020 Gartner, Inc. IT 10,291 Generation Investment Management LLP No 5.19%
4/28/2020 Liberty Broadband Corporation LBRD.A 22,974 Norges Bank Investment Management No 5.02%
4/28/2020 Fitbit, Inc. FIT 1,727 Norges Bank Investment Management No 5.08%
4/27/2020 Arcturus Therapeutics Holdings Inc. ARCT 1,105 Cormorant Asset Management, LLC Yes 5.75%
4/27/2020 Signet Jewelers Limited SIG 504 D. E. Shaw & Co., L.P. Yes 5.09%
4/27/2020 The RealReal, Inc. REAL 1,081 Woodson Capital Management, LLC Yes 5.26%
4/27/2020 Live Nation Entertainment, Inc. LYV 9,489 Public Investments Fund No 5.83%
4/24/2020 Tesla, Inc. TSLA 149,780 Citadel Securities, LLC, Asset Management Arm No 4.14%
4/23/2020 Dave & Buster's Entertainment, Inc. PLAY 532 Morgan Stanley, Investment Banking and Brokerage Investments No 5.20%
4/22/2020 Bill.com Holdings, Inc. BILL 5,697 Temasek Holdings (Private) Limited No 7.66%
4/22/2020 Covanta Holding Corporation CVA 1,158 Norges Bank Investment Management No 5.01%
4/22/2020 Collegium Pharmaceutical, Inc. COLL 752 Perceptive Advisors LLC Yes 5.01%
4/21/2020 Arch Resources, Inc. ARCH 475 Morgan Stanley, Investment Banking and Brokerage Investments No 6.27%
4/17/2020 Blue Apron Holdings, Inc. APRN 114 D. E. Shaw & Co., L.P. Yes 4.35%
4/16/2020 Immunomedics, Inc. IMMU 7,671 Point72 Asset Management, L.P. No 4.74%
4/16/2020 BGC Partners, Inc. BGCP 937 Point72 Asset Management, L.P. No 4.98%
4/13/2020 Yelp Inc. YELP 1,501 D. E. Shaw & Co., L.P. Yes 5.00%
4/13/2020 Carvana Co. CVNA 5,696 T. Rowe Price Group, Inc. No 20.30%
4/10/2020 Synaptics Incorporated SYNA 2,061 FMR LLC No 11.74%
4/10/2020 II-VI Incorporated IIVI 4,148 FMR LLC No 10.71%
4/10/2020 Genpact Limited G 6,423 FMR LLC No 9.60%
4/10/2020 Revolution Medicines, Inc. RVMD 2,046 FMR LLC No 11.28%
4/10/2020 Inspire Medical Systems, Inc. INSP 2,130 FMR LLC No 11.03%
4/10/2020 Beacon Roofing Supply, Inc. BECN 1,501 Adage Capital Management, L.P. Yes 5.01%
4/10/2020 Urban Outfitters, Inc. URBN 1,753 Shapiro Capital Management LLC No 9.92%
4/10/2020 Graphic Packaging Holding Company GPK 3,690 Shapiro Capital Management LLC No 5.04%
4/9/2020 AutoNation, Inc. AN 3,291 Caisse de dépôt et placement du Québec No 5.29%
4/9/2020 Heska Corporation HSKA 755 Park West Asset Management LLC Yes 6.00%*
4/9/2020 OrthoPediatrics Corp. KIDS 829 Brown Capital Management, LLC No 7.72%
4/9/2020 Halozyme Therapeutics, Inc. HALO 3,185 Artisan Partners Limited Partnership No 10.64%
4/6/2020 Carnival Corporation & Plc CCL 10,383 Public Investments Fund
No 4.59%
4/2/2020 Sealed Air Corporation SEE 4,661 Rivulet Capital, LLC Yes 5.00%
3/27/2020 Nevro Corp. NVRO 4,158 HealthCor Management L.P. Yes 5.16%
3/26/2020 National General Holdings Corp. NGHC 2,070 Park West Asset Management LLC Yes 5.07%
3/26/2020 SailPoint Technologies Holdings, Inc. SAIL 1,903 SoMa Equity Partners, L.P. Yes 5.88%
3/25/2020 Royal Dutch Shell plc RDSA 112,490 Norges Bank Investment Management No 2.29%
3/24/2020 Carnival Corporation & Plc CCL 10,383 Norges Bank Investment Management No 5.10%
* Includes convertible preferred stock convertible to 482,869 common shares.
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Our Recent Research
May 2020: No More Walks in the (Office) Park: Tying Foot Traffic Data to REITs
Foot traffic data provides investors and corporate managers with key insights on the level of activity at
properties and the demographic profile of visitors to these locations.
Corporate managers can use this information to pinpoint properties at greater risk of tenant defaults,
while investors can use foot traffic data to identify REITs managing properties where activity remains
robust.
More importantly, once the nationwide lockdown eases, foot traffic can serve as a leading indicator of a
return of economic activity across industries.
May 2020: Do Markets Yearn for the Dog Days of Summer? COVID, Climate, and Consternation
Weather data, from data provider Weather Source, is combined with SNL Real Estate Property data to
expose potential risks for Real Estate Investment Trusts (REITs) of prolonged closures, as well as areas
that may see a resurgence of the virus later this year.
Over 36,000 REIT property locations were overlaid with Weather Source data to generate quarterly
‘temperature zone exposure’ scores for 165 REITs in the Russell 3000 index.
Empirical support for the correlation between temperature and viral spread is provided by combining
Weather Source data with John Hopkin’s University’s COVID-19 database, provided by Star Schema
via the Snowflake cloud computing platform.
April 2020: Cold Turkey - Navigating Guidance Withdrawal Using Supply Chain Data
A recent surge in corporate earnings guidance withdrawals has left decision-makers missing a wrench
in their toolbox. Corporate guidance was already declining, in 2018, when the number of companies in
the Russell 3000 providing guidance peaked at 1,721, dropping 6.9% year over year in 2019 to 1,632
companies. Guidance has been further impacted by the Coronavirus pandemic – 173 companies
withdrew their previous guidance in the first quarter. This leaves decision-makers looking for alternative
forward-looking information on a company’s prospects.
Shipping data can provide a near real-time view into a firm’s activities. Declines in shipping activity could
indicate the rate at which a company’s underlying business is slowing. Alternatively, if shipments remain
largely unchanged, a company’s underlying health may also be unchanged. Increased international
trade activity could indicate an increase in corporate inventories and associated activity. A buildup in
inventories often occurs as firms hope to turn imports into sales, or plan for an anticipated supply
disruption. Firms and industries that show a decrease in international trade may suggest 1) inventory
levels are over-stocked 2) demand forecasts are unfavorable, or 3) significant supply chain shifts are
underway.
April 2020: Data North Star - Navigating Through Information Darkness
Crisis creates uncertainty. Familiar landmarks lose their value and decision makers are left to navigate
on partial information. Following the outbreak of the COVID-19 pandemic, this is the environment in
which investors and corporate decision-makers now suddenly find themselves. The S&P Global
Quantamental Research team has launched a series of research briefs that will aid decision-makers in
navigating this uncertain environment. Utilizing non-traditional datasets across the entire S&P Global
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Market Intelligence product suite, these briefs will provide market participants with analysis on COVID-
19's impact to the financial markets geared to fill the current information gap.
March 2020: Long Road to Recovery: Coronavirus Lessons from Supply Chain and Financial
Data
COVID-19 continues to disrupt global supply chains in unprecedented ways. Leveraging maritime
shipping data from Panjiva, this report includes a review of trade and financial data to analyze the impact
of the SARS-CoV-2 / COVID-19 coronavirus outbreak. Findings include:
Second-order supply chain effects are also emerging with the apparel industry now seeing a
shortage of materials globally due to earlier outages in China.
Retailers including Costco and Target are gaining from increased sales of health- and personal care
products. Yet, supply shortages are rapidly emerging in part due to medical supply export
restrictions in several countries.
There is a notable, but not statistically significant, relationship with firms with higher exposure to
Asia having seen a weaker sector neutral stock price performance.
February 2020: Ship to Shore: Mapping the Global Supply Chain with Panjiva Shipping Data in
Xpressfeed™
World merchandise trade accounted for an estimated $19.7 trillion in 2018, about 90% of which is by
sea. While financial data tells us “how a company has done in the past,” shipping data provides a closer-
to-real time indicator of “what a company is doing now.” Panjiva’s shipping data allows investors to track
trends, identify anomalies, and assess risks for companies engaged in international trade. This paper
illustrates how to find investment insights in Panjiva’s US seaborne and Mexican datasets using the US
auto parts industry as a case study.
Findings include:
Shipment trends often lead fundamentals: Rising shipments amid flat or declining fundamentals may
signal future financial trend reversal
Growth in the number of a company's suppliers and in the types of products it imports may
signal strengthening demand and/or product line diversification.
Tracking industry-level product-line trends can help identify companies with significant exposure to
rising or declining product lines.
January 2020: Natural Language Processing – Part III: Feature Engineering Applying NLP Using
Domain Knowledge to Capture Alpha from Transcripts
Unstructured data is largely underexplored in equity investing due to its higher costs. One particularly
valuable unstructured data set is S&P Global Market Intelligence’s machine readable earnings call
transcripts.
Topic Identification – Firms that referenced the most positive descriptors around their financials
outperformed historically.
Transparency – Firms that provided greater call transparency exhibited by executives’ behaviors
and decisions outperformed historically.
Weighted Average Sentiment – Quantifying call sentiment using a weighted average construct led
to better returns and less volatility historically.
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Additive Forecasting Power – The newly introduced signals demonstrated additive forecasting
power above commonly used alpha and risk signals historically.
December 2019: The “Trucost” of Climate Investing: Managing Climate Risks in Equity Portfolios
Does sustainable investing come at a “cost”, and is the fear of investors around the performance
concessions of “green” portfolios warranted? Our latest research suggests investors’ fears are
misplaced – carbon-sensitive portfolios have similar returns and significantly better climate
characteristics than portfolios constructed without carbon emission considerations. Other findings
include:
Highly profitable firms are likely to be leaders in reducing their carbon emission levels.
There is no degradation in fundamental characteristics for the carbon-sensitive portfolios compared
to the baseline portfolio, even though the difference in constituents can be as high as 20%.
Carbon-sensitive portfolios were observed as having significant reductions in water use, air
pollutants released and waste generated.
October 2019: #ChangePays: There Were More Male CEOs Named John than Female CEOs
This report examines the performance of firms that have made female appointments to their CEO and
CFO positions. Our research finds that firms with female CEOs and/or CFOs:.
Are more profitable and generated excess profits of $1.8 trillion over the study horizon.
Have produced superior stock price performance, compared to the market average.
Have a demonstrated culture of Diversity and Inclusion, evinced by more females on the
company’s board of directors.
June 2019: Looking Beyond Dividend Yield: Finding Value in Cash Distribution Strategies
Examines the relationship between yield-oriented strategies (dividend yield, buyback yield, and
combined shareholder yield) and future stock return, across multiple countries/regions. Also provides
insights into two additional topics:
Which company fundamental characteristics support and enhance future shareholder payouts?
Under which interest rate environment should investors favor yield-oriented strategies?
June 2019: The Dating Game: Decrypting the Signals in Earnings Report Dates
The first part of this report focuses on companies that deviate from a historical reporting pattern, while
the second part examines a related topic – the market’s reaction to companies that postpone a
previously scheduled (announced) earnings release date.
“Advancers” (companies that advance their earnings report date by at least 6 days) are likely to
report improving year-year on sales, better earnings surprises, and more positive conference
call sentiment readings than their industry group peers and “delayers” (companies that delay
their earnings report date by at least 6 days).
Advancers outperform delayers by over 7% on an annualized basis (Russell 3000). This return
rises to 8.80% (Russell 2000) and falls to 2.21% (Russell 1000).
The annualized return to stocks identified as buy candidates and tagged as advancers is
10.77%, compared to 6.29% for buy candidates tagged as delayers.
Companies that postpone a previously announced earnings release date underperform the
broad market by 2.44% in the 3 days surrounding the announcement. These companies are
also likely to report deteriorating fundamentals.
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May 2019: Bridges for Sale: Finding Value in Sell-Side Estimates, Recommendations, and Target
Prices
February 2019: U.S Stock Selection Model Performance Review
February 2019: International Small Cap Investing: Unlocking Alpha Opportunities in an
Underutilized Asset Class
January 2019: Value and Momentum: Everywhere, But Not All the Time
November 2018: Forging Stronger Links: Using Supply Chain Data in the Investing Process
September 2018: Their Sentiment Exactly: Sentiment Signal Diversity Creates Alpha Opportunity
September 2018: Natural Language Processing – Part II: Stock Selection: Alpha Unscripted: The
Message within the Message in Earnings Calls
July 2018: A Case of ‘Wag the Dog’? - ETFs and Stock-Level Liquidity
June 2018: The (Gross Profitability) Trend is Your Friend
May 2018: Buying the Dip: Did Your Portfolio Holding Go on Sale?
March 2018: In the Money: What Really Motivates Executive Performance?
February 2018: The Art of the (no) Deal: Identifying the Drivers of Canceled M&A Deals
January 2018: U.S Stock Selection Model Performance Review
September 2017: Natural Language Processing - Part I: Primer
July 2017: Natural Language Processing Literature Survey
June 2017: Research Brief: Four Important Things to Know About Banks in a Rising Rate
Environment
April 2017: Banking on Alpha: Uncovering Investing Signals Using SNL Bank Data
March 2017: Capital Market Implications of Spinoffs
January 2017: U.S. Stock Selection Model Performance Review 2016
November 2016: Electrify Stock Returns in U.S. Utilities
October 2016: A League of their Own: Batting for Returns in the REIT Industry - Part 2
September 2016: A League of their Own: Batting for Returns in the REIT Industry - Part 1
August 2016: Mergers & Acquisitions: The Good, the Bad and the Ugly (and how to tell them
apart)
July 2016: Preparing for a Slide in Oil Prices -- History May Be Your Guide
June 2016: Social Media and Stock Returns: Is There Value in Cyberspace?
April 2016: An IQ Test for the “Smart Money” – Is the Reputation of Institutional Investors
Warranted?
March 2016: Stock-Level Liquidity – Alpha or Risk? - Stocks with Rising Liquidity Outperform
Globally
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February 2016: U.S. Stock Selection Model Performance Review - The most effective investment
strategies in 2015
January 2016: What Does Earnings Guidance Tell Us? – Listen When Management Announces
Good News
November 2015: Late to File - The Costs of Delayed 10-Q and 10-K Company Filings
October 2015: Global Country Allocation Strategies
September 2015: Research Brief: Building Smart Beta Portfolios
September 2015: Research Brief – Airline Industry Factors
August 2015: Point-In-Time vs. Lagged Fundamentals – This time i(t')s different?
August 2015: Introducing S&P Capital IQ Stock Selection Model for the Japanese Market
July 2015: Research Brief – Liquidity Fragility
May 2015: Investing in a World with Increasing Investor Activism
April 2015: Drilling for Alpha in the Oil and Gas Industry – Insights from Industry Specific Data
& Company Financials
February 2015: U.S. Stock Selection Model Performance Review - The most effective investment
strategies in 2014
January 2015: Research Brief: Global Pension Plans - Are Fully Funded Plans a Relic of the Past?
January 2015: Profitability: Growth-Like Strategy, Value-Like Returns - Profiting from Companies
with Large Economic Moats
October 2014: Lenders Lead, Owners Follow - The Relationship between Credit Indicators and
Equity Returns
July 2014: Factor Insight: Reducing the Downside of a Trend Following Strategy
May 2014: Introducing S&P Capital IQ's Fundamental China A-Share Equity Risk Model
April 2014: Riding the Coattails of Activist Investors Yields Short and Long Term
Outperformance
March 2014: Insights from Academic Literature: Corporate Character, Trading Insights, & New
Data Sources
February 2014: Obtaining an Edge in Emerging Markets
February 2014: U.S Stock Selection Model Performance Review
January 2014: Buying Outperformance: Do share repurchase announcements lead to higher
returns?
October 2013: Informative Insider Trading - The Hidden Profits in Corporate Insider Filings
September 2013: Beggar Thy Neighbor – Research Brief: Exploring Pension Plans
August 2013: Introducing S&P Capital IQ Global Stock Selection Models for Developed Markets:
The Foundations of Outperformance
July 2013: Inspirational Papers on Innovative Topics: Asset Allocation, Insider Trading & Event
Studies
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June 2013: Supply Chain Interactions Part 2: Companies – Connected Company Returns
Examined as Event Signals
June 2013: Behind the Asset Growth Anomaly – Over-promising but Under-delivering
April 2013: Complicated Firms Made Easy - Using Industry Pure-Plays to Forecast Conglomerate
Returns.
March 2013: Risk Models That Work When You Need Them - Short Term Risk Model
Enhancements
March 2013: Follow the Smart Money - Riding the Coattails of Activist Investors
February 2013: Stock Selection Model Performance Review: Assessing the Drivers of
Performance in 2012
January 2013: Research Brief: Exploiting the January Effect Examining Variations in Trend
Following Strategies
December 2012: Do CEO and CFO Departures Matter? - The Signal Content of CEO and CFO
Turnover
November 2012: 11 Industries, 70 Alpha Signals -The Value of Industry-Specific Metrics
October 2012: Introducing S&P Capital IQ's Fundamental Canada Equity Risk Models
September 2012: Factor Insight: Earnings Announcement Return – Is A Return Based Surprise
Superior to an Earnings Based Surprise?
August 2012: Supply Chain Interactions Part 1: Industries Profiting from Lead-Lag Industry
Relationships
July 2012: Releasing S&P Capital IQ’s Regional and Updated Global & US Equity Risk Models
June 2012: Riding Industry Momentum – Enhancing the Residual Reversal Factor
May 2012: The Oil & Gas Industry - Drilling for Alpha Using Global Point-in-Time Industry Data
May 2012: Case Study: S&P Capital IQ – The Platform for Investment Decisions
March 2012: Exploring Alpha from the Securities Lending Market – New Alpha Stemming from
Improved Data
January 2012: S&P Capital IQ Stock Selection Model Review – Understanding the Drivers of
Performance in 2011
January 2012: Intelligent Estimates – A Superior Model of Earnings Surprise
December 2011: Factor Insight – Residual Reversal
November 2011: Research Brief: Return Correlation and Dispersion – All or Nothing
October 2011: The Banking Industry
September 2011: Methods in Dynamic Weighting
September 2011: Research Brief: Return Correlation and Dispersion
July 2011: Research Brief - A Topical Digest of Investment Strategy Insights
June 2011: A Retail Industry Strategy: Does Industry Specific Data tell a different story?
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May 2011: Introducing S&P Capital IQ’s Global Fundamental Equity Risk Models
May 2011: Topical Papers That Caught Our Interest
April 2011: Can Dividend Policy Changes Yield Alpha?
April 2011: CQA Spring 2011 Conference Notes
March 2011: How Much Alpha is in Preliminary Data?
February 2011: Industry Insights – Biotechnology: FDA Approval Catalyst Strategy
January 2011: US Stock Selection Models Introduction
January 2011: Variations on Minimum Variance
January 2011: Interesting and Influential Papers We Read in 2010
November 2010: Is your Bank Under Stress? Introducing our Dynamic Bank Model
October 2010: Getting the Most from Point-in-Time Data
October 2010: Another Brick in the Wall: The Historic Failure of Price Momentum
July 2010: Introducing S&P Capital IQ’s Fundamental US Equity Risk Model
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