Datasets:

BatuhanECB
/

sec-filings-forward-return-2026

accession large_stringlengths 20 20	cik large_stringclasses 576 values	ticker large_stringclasses 577 values	form large_stringclasses 5 values	file_date large_stringdate 1999-07-09 00:00:00 2019-07-12 00:00:00	text large_stringlengths 38 5M	text_len int64 38 5M
0000912057-00-053623	0000320193	AAPL	10-K	2000-12-14 00:00:00	"10-K\n\n1\n\na2032880z10-k.txt\n\nFORM 10-K\n\n UNITED STATES\n SECURITIES AND EXCHANGE COMMISSION\(...TRUNCATED)	257,694
0000912057-00-007295	0000796343	ADBE	10-K	2000-02-16 00:00:00	"Prepared by MERRILL CORPORATION www.edgaradvantage.com\n\nQuickLinks\n\nUNITED STATES\n\nSECURITIES(...TRUNCATED)	247,574
0000866787-00-500019	0000866787	AZO	10-K	2000-10-27 00:00:00	"10-K\n\n1\n\ntenk.htm\n\nFY 2000 10-K\n\n 10-K\n\nCONFORMED COPY\n\nSECURITIES AND EXCHANGE COMMISS(...TRUNCATED)	55,787
0000912057-00-026218	0000764478	BBY	10-K	2000-05-24 00:00:00	"Prepared by MERRILL CORPORATION www.edgaradvantage.com\n\nQuickLinks\n\n -- Click here to rapidly n(...TRUNCATED)	64,997
0000912057-00-039144	0000023217	CAG	10-K	2000-08-25 00:00:00	"10-K\n\n1\n\na10-k.txt\n\nFORM 10-K\n\n SECURITIES AND EXCHANGE COMMISSION\n WASHINGTON, D.C. 20549(...TRUNCATED)	46,953
0000950152-00-006483	0000721371	CAH	10-K	2000-09-06 00:00:00	"10-K\n\n1\n\nl83475ae10-k.txt\n\nCARDINAL HEALTH, INC. FORM 10-K\n\n 1\n\n SECURITIES AND EXCHANGE (...TRUNCATED)	203,140
0000950133-00-004793	0000936395	CIEN	10-K	2000-12-07 00:00:00	"10-K\n\n1\n\nw43335e10-k.txt\n\nANNUAL REPORT PURSUANT\n\n 1\n\n UNITED STATES\n SECURITIES AND EXC(...TRUNCATED)	216,568
0001095811-00-003692	0000858877	CSCO	10-K	2000-09-29 00:00:00	"10-K\n\n1\n\nf65797e10-k.txt\n\nFORM 10-K FISCAL YEAR ENDED JULY 29,2000\n\n 1\n\n UNITED STATES\n (...TRUNCATED)	181,236
0000912057-00-039325	0000723254	CTAS	10-K	2000-08-28 00:00:00	"10-K\n\n1\n\na10-k.txt\n\n10-K\n\n SECURITIES AND EXCHANGE COMMISSION\n Washington, D.C. 20549\n FO(...TRUNCATED)	22,219
0000891020-00-002144	0001048695	FFIV	10-K	2000-12-13 00:00:00	"10-K\n\n1\n\nv67948e10-k.txt\n\n10-K FOR THE FISCAL YEAR ENDED SEPTEMBER 30, 2000\n\n 1\n==========(...TRUNCATED)	178,414

End of preview. Expand in Data Studio

SEC Filings → Forward-Return (US large-cap, 2000–2026)

Leak-free, time-ordered SEC filings (8-K / 10-Q / 10-K) with objective forward-return labels for ~610 current US large-cap names, through 2026. A benchmark ("can filing text predict forward returns?"), not just a corpus.

⚖️ Licensing & provenance (read first — this is the honest part)

This repo deliberately separates two provenance classes:

part	source	license
Filing text + `accession,cik,ticker,form,file_date,period_of_report,doc_url,text_len`	SEC EDGAR — public records the SEC publishes without usage restrictions (freely redistributable; widely re-published)	CC0 dedication on this compilation
Labels (`fwd_ret_, excess_spy_, direction_, fwd_vol_, entry_date`)	derived numerical facts (forward returns) computed from publicly observable split/dividend-adjusted closing prices	provided as-is, no warranty; facts, not redistributed price data

Honest note: SEC filings are authored by registrants and released by the SEC as public records (not §105 federal-government works); redistribution of EDGAR text is standard and unrestricted. The labels are scalar facts derived from market prices — no third-party price dataset is contained or redistributed in this repo. If you require a strictly single-license artifact, use the corpus config alone (CC0) and regenerate labels with generate_labels.py from a price source of your choosing.

The underlying price series is NOT included or redistributed here. Labels are scalar derived returns (facts), not vendor price data.
No proprietary classification. The earlier excess_sector label (which needed a GICS mapping) has been removed. Only market-relative excess (excess_spy, vs SPY) remains.
Full reproducibility: generate_labels.py regenerates every label from your own price source (any date,ticker,adj_close parquet). You can verify or rebuild labels without relying on any redistributed price data.
The corpus config (text only) is unambiguously CC0.

Configs

labeled — filing text + forward-return labels (headline).
labeled_head32k — same, text truncated to 32k chars (HF-practical).
features — tabular only (no text): metadata + labels, for quick baselines.
corpus — ALL forms incl. foreign 6-K/20-F, text-only (CC0).

Splits (walk-forward, 120-trading-day embargo)

train ≤ 2019 · validation 2020–2022 · test 2023–2026. Filings whose 120-td label window crosses a split boundary are dropped from the earlier split (no peeking across boundaries).

Labels (per horizon h ∈ {1,5,20,60,120} trading days; no `fwd_vol_1`)

fwd_ret_h = adj_close[E+h]/adj_close[E]−1 · excess_spy_h = fwd_ret_h − SPY · direction_h = sign(excess_spy_h) · fwd_vol_h = realized daily-log-ret vol. Anchor E = first trading session STRICTLY AFTER file_date (a filing at any intraday time can't be traded that day → next session). entry_date is kept for transparency.

⚠️ Known limitations

Survivorship bias — universe = current US large-cap names only. Fingerprint visible: excess_spy mean ≈ 0 at 1–5d, rising to ~+2.6% at 120d. Use cross-sectional/excess, not absolute long-horizon P&L. No point-in-time index membership.
Foreign 6-K/20-F are text-only (in corpus), not price-labeled.
Not investment advice. Research dataset; past returns ≠ future results.

Baseline (bar to beat) — test split (2023–26), walk-forward

model	input	accuracy	AUC	IC (Spearman)	L/S decile excess_20
no-text floor (HistGBM)	form, text_len, season	0.470	0.512	+0.022	−0.006
text (TF-IDF + logistic)	head_32k filing text	0.479	0.500	−0.006	−0.000

Both ~chance: predicting 20-day excess return from filing text out-of-sample is genuinely hard, and naive text does not beat the no-text floor. The ~0.50 walk-forward AUC also corroborates the labels are leak-free (a leaky setup would inflate it). Open challenge: beat this (likely 8-K at short horizons, or modern encoders).

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