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A few weeks back I posted an analysis here of every open-market insider purchase filed since January 2025 against SPY. About 9,000 filings. 39% beat SPY at six months and the typical purchase trailed. The post got positive feedback and valuable comments.
The most interesting one was that comparing to SPY-excess doesn't really prove the signal has an edge, given the cap-weighting mismatch. Fair point. The question I care about isn't proving edge in the academic sense though, it's whether following these trades produces better returns than just holding SPY. So I'm including absolute returns alongside the SPY-excess numbers from here on to highlight more the general usefulness of this approach.
This is the first of a couple of followups. The simplest cut you can make on the same dataset is splitting by what the stock was doing at the moment the insider bought. Every transaction in the database has a price-trend tag at filing time. Three buckets:
* Contrarian: insider bought into a meaningful price drop
* Momentum: insider bought into a meaningful price rise
* Sideways: stock wasn't really moving
Contrarian is about half the universe - 4,813 of 9,666 transactions on the refreshed data through 2026-05-20. That's the cohort I'm sharing here. Momentum and Sideways will follow in their own posts later.
# What 4,813 Contrarian filings actually returned
|Holding period|N|Mean|Median |Win %|Mean vs SPY|Median vs SPY|Beat SPY %|
|:-|:-|:-|:-|:-|:-|:-|:-|
|5 days|4,507|\+2.10%|\+1.12%|57.3%|\+1.81%|\+0.84%|56.4%|
|1 month|4,295|\+2.56%|\+1.54%|54.6%|\+1.47%|\+0.13%|50.8%|
|3 months|3,666|\+6.69%|\+1.14%|51.9%|\+1.48%|\-3.27%|42.7%|
|6 months|2,961|\+14.22%|\+4.29%|56.9%|\+1.58%|\-7.64%|39.5%|
|12 months|1,418|\+23.54%|\+12.04%|59.0%|\+1.44%|\-9.02%|40.6%|
*Contrarian cohort, per-transaction view. P1/P99 trimmed by SPY-excess per window. The 12-month row only covers Jan-Apr 2025 filings - the earliest cohort with a year of return data.*
**Two ways to read this.**
The median reads as a short-term edge that fades. At five days the typical Contrarian trade returned +1.12% absolute and +0.84% versus SPY with 56% beating the index. At one month, still positive on both frames. Past one month the median SPY-excess turns negative. By three months and beyond, the typical Contrarian trade is no better than the typical baseline trade, the directional edge on the median is real and lasts about four weeks (link to full comparison with baseline below).
The mean tells a different story. The trimmed mean SPY-excess sits between +1.4% and +1.8% at every window from five days through twelve months. The baseline universe goes slightly negative on the mean at six and twelve months. Contrarian doesn't. The right tail is doing the work.
So two true statements at once. The typical Contrarian trade past one month is no better than the typical baseline trade. And following every Contrarian filing equally produced a positive average premium over SPY at every horizon in this sample.
# Where the rest is
I put the full version of this analsyis up as a free [Substack article.](https://insidercontext.substack.com/p/do-insiders-buying-the-dip-beat-the)
It has the refreshed baseline with the absolute frame added. Full side-by-side comparison between the baseline and the Contrarian numbers above. The SPY-excess and absolute return distribution percentiles at each holding window. The market cap breakdown (micro-cap row is the interesting one), per-ticker cross-check (one observation per company instead of per filing). Full methodology in the same notation as the previous Reddit post. And a link to the actual list of transactions used in the analysis with the price-trend tags attached, in case anyone wants to scan the raw data.
# What's next
Momentum and Sideways are coming as separate followups.
After that the natural cuts are cluster effects (multiple insiders buying the same name in a short window), role (CEO vs CFO vs Director vs 10%+ owner), drawdown depth (52-week low, overbought RSI), and earnings backdrop (buying into a drawdown with stable EPS vs buying into a drawdown with declining EPS - the data suggests this is the cleanest single layer to add on top of Contrarian).
If you have a specific angle you'd want me to look at first, or a slice of the dataset you think would be more useful than the order above, drop it in the comments. Easier to prioritize when I know what would actually be useful to people doing this kind of work.
# Methodology, short version
* Same universe as the previous post, refreshed through 2026-05-20. 9,666 open-market insider purchases filed since January 2025. Direct purchases of common stock only — no options exercises, no grants, no automatic purchase plans, no preferred shares, no derivatives.
* All returns measured from filing-date close. Split- and dividend-adjusted. SPY-excess = transaction return minus SPY return over the same window.
* P1/P99 trimmed per window on SPY-excess (top and bottom 1% removed). Means and medians both reported.
* Equal-weighted across transactions. A $50K purchase and a $5M purchase count the same. No transaction-cost adjustment.
* Category derivation: most recent meaningful price move across four windows checked in priority order (5d, 30d, 90d, 365d) at 5/10/15/20% thresholds. Drop in the first triggering window = Contrarian. Rise = Momentum. No meaningful move = Sideways. Latest trend wins.
* Full methodology section, distribution percentiles, cap segments, per-ticker view, and the underlying transaction list are all in the Substack writeup.
* Observational study on one specific dataset. Not a universal claim about insider trading.