U.S. Equity 10-K Filings Daily Metrics API | Intrinio

U.S. Equity 10-K Filings Daily Metrics

The Equity Daily Metrics data feed contains market-moving information that is not typically immediately digested by the market. Vidaminds utilizes Natural Language Processing (NLP) technology, as well as thorough QA, to analyze 10-K filings from over 13,350 publicly listed US companies and extract factors that have strong prediction power on the future stock performance for several days to several months. 

While there are a variety of strategies that can be created using this data, one of the most popular approaches is to construct Long/Short quantile portfolios. 

Highlights

  • Set 1 (LongTerm): factors that are effective for about 3 calendar quarters after the filing. Most are statistically significant for the next 4 quarters.
  • Set 2 (Next1stQuarter): factors that are statistically significant for the next 1st quarter after the filing. 
  • Set 3 (Next2ndQuarter): factors that are statistically significant for the next 2nd quarter after the filing.
  • Set 4 (Next3rdQuarter): factors that are statistically significant for the next 3rd quarter after the filing.
  • Set 5 (Next4thQuarter): factors that are statistically significant for the next 4th quarter after the filing.
  • Correlation Metrics between the groups and sets

Quality Data You Can Trust

  • Equity Daily Metrics provided by Vidaminds
  • Updated daily at 12:10am EST for the previous day's data
  • Historical data dating back to 1999

About Intrinio

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Features
  • Point in time data for over 13,350 US Tickers
  • Sentiment from Earnings Calls
  • Updated Daily
  • Historical data dating back to 1999
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