StandardfilingsSP-3573

8-K Distress-Item Disclosures (S&P 500)

Daily count of S&P 500 8-Ks disclosing a distress item: 1.03 bankruptcy, 1.05 cyber incident, 2.05 exit/disposal (layoffs), 2.06 impairment, 3.01 delisting, 4.02 restatement. The "something broke" gauge.

the verdict —

At the 252d horizon, this signal hits in the predicted direction 28% of fires. Mean SPY forward return when it lights: -8.99%. Status: in sample. n = 2360. Bearish on the underlying when fired.

— Current state —

Latest value · 2026-06-01

0.00

Binary calendar indicator — value is 1 on event days, 0 every other day. A time-series sparkline isn't meaningful here (it's mostly zeros). The hit-rate / magnitude stats below are computed against the event days themselves; see the COMING UP strip on the home page for upcoming instances.

— The series — full history —

Daily readings, every reading we have. Pick a window with the time-period buttons; flip to candles via the global toggle in the masthead (or press C). Toggle the SPY overlay to see how this series and the S&P 500 have moved together.

8-K Distress-Item Disclosures (S&P 500)

0.0000

Hover for date + value · Toggle SPY to compare relative move

2025-06-13 → 2026-06-01  ·  252 bars

— What it has historically predicted —

On days when this signal fires (deviates 2+ standard deviations from its 30-day average, in either direction), SPY has historically averaged -9.0% over the next year, moving in the opposite direction 72% of the time.

↓53%

−0.03%

1 d

↓57%

−0.18%

1 wk

↓63%

−0.85%

1 mo

↓67%

−2.2%

3 mo

↓69%

−4.4%

6 mo

↓72%

−9.0%

1 yr

— Beyond SPY — how this signal performs across markets —

Same fire days, different forward returns. Each row asks: when this signal fires, what does that asset do? The big number is the average return; underneath is how often the asset moved the same direction as the signal (50% would be a coin flip).

target

1 d

1 wk

1 mo

3 mo

6 mo

1 yr

SPY

S&P 500 ETF

n=2,360

-0.03%

47% same direction

-0.18%

43% same direction

-0.85%

37% same direction

-2.2%

33% same direction

-4.4%

31% same direction

-9.0%

28% same direction

Gold

futures

n=2,489

-0.06%

47% same direction

-0.21%

45% same direction

-0.79%

45% same direction

-2.2%

39% same direction

-4.9%

34% same direction

-9.7%

34% same direction

Analyst · 6 moreWTI · BTC · Copper · DXY · MOVE · VNQ — see the full 8-target matrix with bootstrap confidence intervals.Join waitlist →

shaded cell = each row's strongest horizon (green = bullish forward return, red = bearish)“same direction” means the asset moved the same way the signal moved — opposite of a coin flip.

Signal grade

WEAK5/10

Provisional — measured on the same data we used to find it.

2,360 historical observations

How this works

This is a binary calendar indicator — value is 1 on event days (e.g. movie release, retrograde, McRib launch), 0 every other day. We check what SPY (and the other assets) did over the next 1, 5, 21, and 63 trading days after each event. The hit rate asks: did the market move the same direction more often than a coin flip would predict, on average across all historical event days?

We picked 60 days by sweeping {14, 30, 60, 90} and measuring signal quality — see methodology for the data.

full methodology →

More in filings

Analyst · previewYou're seeing the public read on this signal. Analyst unlocks the full multi-year track record + bootstrap confidence intervals + an alert when this indicator fires. Trader adds the walk-forward backtest + intraday refresh + the API / MCP to pull this signal into Claude.Compare tiers →