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Dip-Buy Signal

Not Every Stock Deserves to Drop

When markets sell off during stressed filing periods, SEC disclosure language separates contagion victims from real deterioration. 30 years of data. 6,500+ companies. Here’s the framework — and the list.

Disclosure Monitor — BaselineWatch Research · March 24, 2026 · 5 min read

53
Drift Index
26
VIX
+11.27%
Alpha (Low Drift)
54%
Win Rate

The BaselineWatch Drift Index is at 53 — its highest reading since the 2008 Financial Crisis. The VIX is at 26. Nearly half of all SEC filings in our coverage universe are showing elevated or critical language changes. Companies are hedging their words at a rate we haven’t seen in 18 years.

But here’s what most people miss: not every stock that drops in a selloff deserves to drop.

We score every 10-K and 10-Q filed with the SEC for how much the language changed from the prior filing. When management starts adding risk disclaimers, hedging forward guidance, or expanding their “factors that could affect results” sections — we see it. When the language stays stable and confident — we see that too.

What 30 Years of Data Says About Stressed Markets

During periods when the aggregate drift index is at or above 50 and the market sells off, we observe a clear pattern in 60-day forward returns:

GroupnRaw 60dAlphaWin Rate
LOW drift (≤ 25)873+4.98%+11.27%54%
HIGH drift (≥ 60)2,203+4.77%+11.25%53%
MID1,548+3.69%+9.72%50%

Low-drift companies — the ones whose filings say “business as usual” — generate the same alpha as high-drift companies in a market bounce. But with fundamentally cleaner filings. Their management isn’t flagging problems. They got dragged down by the market, not by their own deterioration.

That’s a textbook dip-buy. Same upside, lower fundamental risk. The filing language tells you which names are contagion victims and which ones actually have problems.

The Dip-Buy List: Low Drift, Clean Filings

These companies have filed recent 10-Ks or 10-Qs with minimal language changes. Management is not hedging. Disclosures are stable. If these names sell off with the broader market, the filings say it’s contagion — not fundamentals.

TickerScoreFormFiled
MSFT010-QJan 28
CSCO010-QFeb 17
LRCX010-QJan 29
VRTX010-KFeb 13
WM010-KFeb 9
ORCL010-QDec 11
GEV010-KJan 29
GOLD010-QFeb 6
PANW110-QFeb 18
WMT610-QDec 3
BA1010-KJan 30
JNJ1010-KFeb 11
V1010-QJan 30
DELL1110-QDec 9
OXY1310-KFeb 18
SMCI1510-QFeb 6
UNH1510-QOct 28
PFE1610-QNov 4
LOW1710-QNov 26
HD1910-QNov 25
INTC1910-KJan 23
RTX2310-KFeb 6
PAYX2310-QDec 22

A score of zero means the filing language barely changed from the prior period. These are companies showing management confidence, stable operations, and no material new risk disclosures.

The Avoid List: High Drift, Real Problems

These names have drift scores at or above 75. Their filings show significant language changes — expanded disclaimers, hedged guidance, new risk factors. If these drop in a selloff, you cannot tell whether the decline is market contagion or the market finally pricing in what the filing already disclosed. That ambiguity is risk.

TickerScoreFormFiled
NVDA10010-KFeb 25
ADBE10010-KJan 15
GOOG10010-KFeb 5
AVGO10010-QMar 11
LLY10010-KFeb 12
TGT10010-KMar 11
TMUS10010-KFeb 11
FCX10010-KFeb 13
DIS9810-QFeb 2
NFLX9410-KJan 23
MCD9110-KFeb 24
QCOM9010-QFeb 4
HLT8710-KFeb 11
LMT8710-KJan 29
IBM8510-KFeb 24
UPS8510-KFeb 17
BKNG8510-KFeb 18
High drift does not automatically mean “short.” It means the company is telling you something changed. In a selloff, you cannot separate contagion from fundamentals. That ambiguity is the risk you are being asked to take on.

The Framework

This is not a prediction. It is a conditional setup with clearly defined trigger conditions:

1. Aggregate drift index at or above 50. Currently 53. ✓

2. VIX elevated. Currently 26. ✓

3. Wait for a broad selloff.

4. Buy low-drift names — they bounced with +11% alpha historically.

5. Avoid high-drift names — you don’t know what you’re catching.

When the market is up during stressed periods, nothing works — negative alpha across the board. The signal is specifically useful when fear creates a broad selloff and you need to separate the companies that got hit by contagion from the ones that actually have problems.

Methodology

BaselineWatch analyzes over 37,000 scored filings across 6,700+ U.S. public companies, with data spanning 30 years of SEC filing history. Returns are calculated on a 60-trading-day forward basis with Fama-French 5-factor controls. Alpha is measured against the expected return given market, size, value, profitability, and investment factor exposures. The methodology has passed 19 of 24 rigorous statistical validation tests.

We publish validation results. We protect the methodology.

Monitor the Signal

BaselineWatch tracks disclosure risk across 6,700+ U.S. public companies in real time.

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