capex_spike
stress default: short
Definition
Fires on >50% YoY capex increase. Captures aggressive reinvestment phases — often precedes value destruction in mature industries.
Trigger logic
current_fy_capex / prior_fy_capex > 1.50 AND prior_fy_capex > 0. From facts.parquet PaymentsToAcquirePropertyPlantAndEquipment.
Source: signals/build_signals.py:315
Calibration — gross stock return vs net of execution costs
Cost model: 5 bps half-spread each side, 10 × √($1M / 30d ADV) impact each side, ADV-tiered borrow (≥$50M ADV → 10 bps annual; ≥$5M → 30; <$5M → 100), scaled by holding_days/252 if short.
| Horizon | n events | Gross stock ret | Net PnL | Hit rate | r/σ net | Avg cost (bps) |
|---|---|---|---|---|---|---|
| 1d | 2,295 | +0.01% | -0.06% | +43.27% | -0.01 | 32 |
| 5d | 2,292 | -0.85% | +0.74% | +41.88% | +0.06 | 33 |
| 20d | 2,258 | -1.91% | +2.05% | +41.67% | +0.10 | 36 |
| 60d | 2,127 | +0.65% | -0.78% | +44.01% | -0.02 | 47 |
| 252d | 2,092 | +14.03% | -14.91% | +44.93% | -0.09 | 97 |
Sector breakdown (top 8 by |r/σ| at 20d)
| SIC division | n | Mean 20d | Hit rate | r/σ |
|---|---|---|---|---|
| Services (business + personal) | 256 | -3.83% | +39.45% | -0.23 |
| Services (health + legal + edu) | 94 | -4.20% | +39.36% | -0.19 |
| Finance, Insurance, Real Estate | 183 | -2.77% | +41.53% | -0.16 |
| Manufacturing (heavy) | 612 | -2.47% | +40.52% | -0.11 |
| Transportation, Communications, Utilities | 217 | -2.05% | +42.40% | -0.11 |
| Wholesale + Retail Trade | 97 | +2.54% | +47.42% | +0.10 |
| Mining + Construction | 129 | +1.84% | +48.84% | +0.08 |
| Manufacturing (light) | 668 | -1.39% | +41.62% | -0.06 |
Recent triggers
AMAT— APPLIED MATERIALS INC /DE (FY2025)LPX— LOUISIANA-PACIFIC CORP (FY2025)MVIS— MICROVISION, INC. (FY2025)SLNH— Soluna Holdings, Inc (FY2025)OXM— OXFORD INDUSTRIES INC (FY2025)
Caveats
- ONLY forensic short that survives at 20d net of costs (+2.05%).
- Reverses at 252d (-14.91% net) — distressed survivor bounce.
- Best in pair with margin_compression_severe (+3.08% net 20d).
Citations
- Titman, Wei, Xie (2004). 'Capital Investments and Stock Returns.' JFQA.
- Cooper, Gulen, Schill (2008). 'Asset Growth and the Cross-Section of Stock Returns.' JF.
Live data → /api/methodology/signal/capex_spike · MCP → pyflo_signal_methodology(signal="capex_spike")