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accruals_quality_low on Ares Management Corp (ARES)
SIC 6282 — Investment Advice · CIK 1176948 · default direction: short
Definition
Fires when total accruals exceed 10% of total assets while net income is positive. Captures 'earnings of low cash quality' (Sloan accruals).
Every time the signal fired on ARES
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2021 | 2022-02-28 | 2022-02-28 | -2.36% | -16.23% | -0.95% | -17.41% | +3.14% |
| FY2019 | 2020-02-28 | 2020-02-28 | +5.52% | -2.43% | -13.02% | +7.35% | +58.12% |
| FY2018 | 2019-02-26 | 2019-02-26 | -0.13% | -3.22% | +0.27% | +12.88% | +62.99% |
| FY2017 | 2018-03-01 | 2018-03-01 | -0.61% | -11.11% | -13.54% | -13.16% | -2.30% |
| FY2016 | 2017-02-27 | 2017-02-27 | -0.92% | -10.55% | -15.06% | -13.23% | +21.60% |
| FY2015 | 2016-02-29 | 2016-02-29 | +1.76% | +5.71% | +28.70% | +20.18% | +91.64% |
Forward returns are stock returns from event date (next trading day after filing). Sign is raw stock direction; the trade direction is in the calibration table below.
Universe-wide calibration (this signal across all companies)
| Horizon | n events | Gross stock ret | Hit rate | Trade dir | Net PnL | Cost (bps) | r/σ net |
|---|---|---|---|---|---|---|---|
| 1d | 858 | -0.20% | +45.45% | short | -0.29% | 33 | -0.04 |
| 5d | 857 | +1.15% | +46.67% | short | -0.47% | 34 | -0.04 |
| 20d | 848 | +0.26% | +46.93% | short | +0.13% | 38 | +0.01 |
| 60d | 798 | +9.36% | +45.49% | short | -9.54% | 49 | -0.05 |
| 252d | 774 | +22.52% | +48.71% | short | -22.54% | 99 | -0.11 |
Net PnL is direction × stock return − round-trip execution cost (5 bps half-spread + ADV-tiered borrow). See accruals_quality_low methodology for the full audit.