{ "name": "Strategic Signal Exceptional Capital Methodology", "version": "0.3.1", "status": "validated_manager_evidence_and_auditable_event_strength", "published_on": "2026-09-20", "principles": [ "Use public SEC Form 13F filings as the source of record for institutional holdings changes.", "Measure outcomes from the first trading close strictly after the public filing date, never from quarter-end or the filing-day close.", "Classify comparable quarter-over-quarter disclosed holdings changes as NEW, ADD, REDUCE, or EXIT.", "Describe EXIT as a disclosed-position exit; do not infer bearish intent, complete portfolio exposure, or replacement exposure outside Form 13F.", "Treat each manager filing quarter, not each individual security event, as the independent evidence unit.", "Equal-weight qualifying event outcomes within each manager-quarter-horizon before calculating evidence statistics.", "Require both time-ordered held-out evidence and a separate recent-six-quarter stability test before a manager can qualify.", "Treat manager reputation as candidate selection only; historical evidence determines eligibility for live signal scoring.", "Publish security-level convergence only from independently disclosed events belonging to qualified managers.", "Keep U.S. Senate disclosures methodologically separate; Senators are never assigned manager-quality or investment-skill scores.", "A qualified manager does not make every action predictive: an event receives a public score only when the relevant event-type evidence is at least 50, or an allowed broader fallback clears its published threshold." ], "event_taxonomy": { "NEW": "No reportable position in the prior comparable filing; reportable position appears in the current filing.", "ADD": "Reportable share count increases quarter over quarter.", "REDUCE": "Reportable share count decreases quarter over quarter while a reportable position remains.", "EXIT": "A prior reportable position is absent from the current comparable filing." }, "notable_event_gate": { "NEW": "Current position is at least 1.0% of disclosed 13F equity value or ranks in the manager's top 20 disclosed positions.", "ADD": "Shares increase at least 25% and the current position is at least 0.5% of disclosed 13F equity value or ranks in the top 20.", "REDUCE": "Shares decrease at least 25% and the prior position was at least 0.5% of disclosed 13F equity value or ranked in the top 20.", "EXIT": "Prior position was at least 0.5% of disclosed 13F equity value or ranked in the top 20." }, "evidence_score": { "horizon_raw_score": "50 + 30*tanh(mean directional excess return / 10%) + 20*tanh((hit rate - 50%) / 15%), bounded to 0–100.", "reliability": "Raw horizon evidence is shrunk toward 50 based on completed 12-month filing-quarter count, distinct issuer breadth, and price coverage.", "horizon_weights": { "3m": 25, "6m": 35, "12m": 40 }, "accumulation_direction": "Security return minus SPY return for NEW and ADD.", "distribution_direction": "SPY return minus security return for REDUCE and EXIT." }, "manager_qualification": { "minimum_history_years": 5, "minimum_completed_notable_events": 12, "minimum_distinct_issuers": 6, "minimum_price_coverage_pct": 80, "minimum_heldout_completed_filing_quarters": 6, "minimum_recent_completed_filing_quarters": 6, "heldout_overall_score_minimum": 55, "heldout_6m_raw_score_minimum": 50, "heldout_12m_raw_score_minimum": 50, "recent_overall_score_minimum": 55, "recent_12m_raw_score_minimum": 50, "statuses": [ "candidate", "watch", "qualified", "retired" ], "status_meanings": { "candidate": "One or more data sufficiency gates are not met; diagnostic scores do not make the manager eligible for live signal scoring.", "watch": "Data sufficiency gates are met, but one or more evidence or recent-stability score gates fail.", "qualified": "All data, held-out evidence, and recent-stability gates pass; the manager is eligible to contribute to live Exceptional Capital scoring.", "retired": "Previously qualified or tracked manager removed from current scoring under a future methodology decision." } }, "signal_score": { "publication_rule": "Only events from qualified managers may receive a score, and the relevant action-specific evidence must clear the neutral threshold. If an event-type score exists below 50, that event remains unscored; insufficient event-type history may fall back to direction evidence >=50, then overall held-out evidence >=55.", "scale": "0-100", "components": [ { "name": "event_materiality", "weight": 35 }, { "name": "portfolio_weight", "weight": 25 }, { "name": "manager_evidence", "weight": 20 }, { "name": "cross_manager_convergence", "weight": 20 } ] }, "convergence": { "accumulation_types": [ "NEW", "ADD" ], "distribution_types": [ "REDUCE", "EXIT" ], "multi_manager": 2, "broad_convergence": 3, "rule": "Convergence is security-level evidence, not a claim that managers share the same motive or total exposure." }, "publication_boundary": "Version 0.3.1 is a clarity and auditability update. It preserves all v0.3.0 manager statuses, qualification gates, event inclusion decisions, and published scores while exposing the canonical inputs and weighted components behind Event Strength.", "event_strength": { "name": "Event Strength", "interpretation": "A 0–100 composite for one disclosed 13F position-change event. It is not company quality, a probability, an expected-return forecast, a recommendation, or a real-time trading signal.", "direction": { "NEW": "accumulation", "ADD": "accumulation", "REDUCE": "distribution", "EXIT": "distribution" }, "components": { "event_materiality": { "weight_pct": 35, "raw_rule": "NEW and EXIT use raw=1. ADD and REDUCE use abs(share_change_pct)/100.", "score_rule": "min(raw, 1) * 100." }, "portfolio_weight": { "weight_pct": 25, "raw_rule": "NEW and ADD use current disclosed portfolio weight; REDUCE and EXIT use previous disclosed portfolio weight.", "score_rule": "min(relevant portfolio weight percentage / 5, 1) * 100." }, "manager_action_evidence": { "weight_pct": 20, "raw_rule": "The selected historical evidence score for the qualified manager and action type.", "score_rule": "Use the action-type evidence score when available and >=50; if action history is insufficient, direction evidence >=50 may be used; held-out overall evidence >=55 is the final fallback. A below-50 action-type score is not rescued by a broader score." }, "convergence": { "weight_pct": 20, "raw_rule": "Number of independently qualified managers moving in the same direction in the same security and filing period.", "score_rule": "1 manager = 0; 2 managers = 60; 3 or more managers = 100." } }, "calculation": "Event Strength = round(0.35*materiality_score + 0.25*portfolio_weight_score + 0.20*manager_evidence_score + 0.20*convergence_score). JavaScript Math.round is used after summing unrounded weighted points.", "qualitative_event_labels": { "strong": "70–100", "moderate": "50–69", "limited": "0–49" }, "label_scope": "Labels describe the strength and direction of the disclosed event only. They are not buy/sell/high-conviction labels.", "backward_compatibility": "exceptional_capital_score is an alias of event_strength_score in v0.3.1." }, "worked_example_mu": { "event_id": "SS-EC-2026-FFA1433217", "manager": "Coatue Management LLC", "ticker": "MU", "action": "ADD", "previous_shares": 165931, "current_shares": 3142269, "share_change_pct": 1793.7202813218, "current_portfolio_weight_pct": 7.4586885999, "event_materiality_score": 100, "event_materiality_weighted_points": 35, "portfolio_weight_score": 100, "portfolio_weight_weighted_points": 25, "manager_evidence_score": 78.3, "manager_evidence_weighted_points": 15.66, "convergence_manager_count": 1, "convergence_score": 0, "convergence_weighted_points": 0, "unrounded_total": 75.66, "event_strength_score": 76, "explanation": "76/100 Event Strength — strong accumulation. Coatue Management LLC increased its disclosed MU position from approximately 165,931 shares to 3,142,269 shares, making it approximately 7.46% of the disclosed 13F equity value; the action-evidence score is 78.3. The event has no cross-manager confirmation because only one qualified manager contributed.", "event_materiality_raw": 17.937202813218 } }