$ prism-api --info

Behavioral Signal
Infrastructure

Quarterly behavioral signals covering US Russell 3000+ and Japan TSE, derived from 57 psychometric dimensions scored on regulatory filings. Four signals. One raw panel. Delivered via CSV, API, or S3.

17,500+

Companies

400K+

Documents

Dimensions

25 yrs

History

$ prism-api --list-products

Signal Suite

Prism operationalizes "tone from the top" into a quantitative, cross-sectional measure. All inputs are public documents. No web scraping, no PII, no MNPI.

Conduct Risk Index R3K

+21.72% alpha · Sharpe 1.50

US long/short alpha signal. Walk-forward Carhart validated on Russell 3000. t=5.66, 11/12 formation years positive, defensive beta.

Governance Risk Index TSE

+5.63% alpha · Sharpe 1.46

Japan long/short alpha signal. 4,398 TSE-listed firms scored on EDINET filings. JP Fama-French 4 adjusted, t=4.06 Newey-West.

Enforcement Risk Index R3K

AUC 0.839 · 13× separation

US regulatory enforcement probability. Predicts SEC and DOJ actions across 8,342 firms. Compliance screening and D&O insurance pricing.

Prosecution Risk Score S&P 500

AUC 0.944 · nested LOO CV

DOJ criminal prosecution probability. Temporal behavioral drift signal — firms losing prosocial tone in public communications.

Tier 2 — Raw Behavioral Panel

Full 57-dimension quarterly panel. 17,500+ companies, 2001–2026. Build your own signals.

$ prism-api --query conduct-risk

Conduct Risk Index

Conduct risk is a regulator-defined category with $41B+ in US enforcement fines since 2019. The Conduct Risk Index quantifies exposure from the language patterns in SEC filings and earnings transcripts — before enforcement begins.

COVERAGE ....... Russell 3000+Full US equity universe excluding micro-caps. 9,155 tickers

HISTORY ........ 2013–2025Walk-forward formation years. 132-month out-of-sample window. 132 months, quarterly

CARHART_ALPHA .. +21.72%Net of Carhart 4 factors. Walk-forward, not in-sample. annualized, walk-forward

SHARPE .......... 1.50Top decile among quantitative signals globally. 132 months

T_STAT .......... +5.66p < 0.001. Survives every standard correction. p < 0.001

MAX_DRAWDOWN ... -9.37%Worst peak-to-trough. Shallow drawdown relative to alpha magnitude.

MKT_BETA ....... -0.333Negative beta = the signal is defensive. Gains when markets fall. defensive

YEARS_POS ...... 11/1211 of 12 formation years positive. Worst year: -7.58% (2014). 92%

SMB_BETA ....... -0.130Not a small-cap effect. Signal works across market cap spectrum. not size-driven

UMD_BETA ....... -0.062Not a momentum effect. Statistically insignificant. not momentum

Walk-forward Carhart 4-factor regression. Russell 3000 universe. Formation years 2013–2023.

Conduct Risk — Annual Returns

+25%

+3%

+13%

+4%

+14%

+37%

+23%

+9%

+40%

+26%

+6%

+9%

+11%

+48%

+16%

+10%

+27%

+19%

+22%

'06

'07

'08

'09

'10

'11

'12

'13

'14

'15

'16

'17

'18

'19

'20

'21

'22

'23

'24

'25

-10%

'06+25%

'07+3%

'08+13%

'09+4%

'10+14%

'11+37%

'12-10%

'13+23%

'14+9%

'15+40%

'16+26%

'17+6%

'18+9%

'19+11%

'20+48%

'21+16%

'22+10%

'23+27%

'24+19%

'25+22%

Full 20-year backtest range shown. Validated walk-forward window (formation years 2013–2023) delivers +21.72% net of Carhart 4 factors, Sharpe 1.50, 11 of 12 years positive.

$ prism-api --query enforcement-risk

Enforcement & Prosecution Risk

Firms whose public communication loses its prosocial and moral tone over time are the enforcement-prone ones. The signal is drift, not level.

PROSECUTION_AUC . 0.94Nested cross-validation on S&P 500. 495 firms, 24 prosecuted. Honest out-of-fold scores. nested CV, S&P 500

LEAD_TIME ...... ~2 quartersSignal detectable before DOJ enforcement action. before enforcement

SIGNAL_TYPE .... Behavioral driftFirms losing prosocial tone over time, not cross-sectional level. temporal, not cross-sectional

ORTHOGONALITY .. 94.7%Signal variance NOT explained by sector + log-assets. Strongly idiosyncratic. unexplained by sector + size

FEATURES ....... 15Comparable AUC with 29 total features vs 242 in full model (1/8 the feature count). parsimonious composite

BOOTSTRAP_CI .. [0.91, 0.97] 95% CI, N=1000

$ prism-api --methodology

How It Works

SIGNAL Behavioral scores from regulatory filings and earnings transcripts

METHOD Proprietary scoring methodology

UNIVERSE US Russell 3000+ and Japan TSE (17,500+ companies)

REBALANCE Annual

DIMENSIONS 57 behavioral constructs per company

SOURCES_US SEC EDGAR (10-K, 10-Q, DEF 14A) + earnings transcripts

SOURCES_JP TDnet/EDINET regulatory disclosures

$ prism-api --pricing

Access

Evaluation

Sample panel, case study, coverage map, and full validation deck.

Tier 1 — Alpha Signals

Conduct Risk Index, Governance Risk Index (TSE), Enforcement Risk Index, Prosecution Risk Score. Quarterly, via API, CSV, or S3.

Tier 2 — Raw Panel

Full 57-dimension quarterly panel. 17,500+ companies, US + Japan. Build your own signals.

Listed on Neudata · Eagle Alpha

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