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beneish_m_score_high on Archer-Daniels-Midland Co (ADM)
SIC 2070 — Fats & Oils · CIK 7084 · default direction: short
Definition
Beneish 5-factor M-Score above the manipulator threshold (-1.78). Composite of DSO, gross margin, asset quality, sales growth, depreciation.
Every time the signal fired on ADM
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2022 | 2023-02-14 | 2023-02-14 | -0.05% | -0.21% | -6.08% | -8.41% | -31.78% |
| FY2020 | 2021-02-18 | 2021-02-18 | +0.54% | +2.74% | +3.21% | +21.21% | +40.86% |
| FY2019 | 2020-02-18 | 2020-02-18 | -1.08% | -9.04% | -20.67% | -23.87% | +29.95% |
| FY2018 | 2019-02-19 | 2019-02-19 | +0.29% | +1.12% | +2.77% | -1.23% | +8.70% |
| FY2017 | 2018-02-16 | 2018-02-16 | -1.30% | -2.23% | -0.16% | +2.97% | +0.27% |
| FY2016 | 2017-02-17 | 2017-02-17 | +0.27% | +1.52% | +0.36% | -5.53% | -1.73% |
| FY2011 | 2011-08-25 | 2011-08-25 | +0.54% | +2.21% | -8.90% | +5.14% | -2.31% |
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 | 2,937 | +0.04% | +45.86% | short | -0.28% | 32 | -0.04 |
| 5d | 2,937 | +0.10% | +45.83% | short | +0.06% | 33 | +0.01 |
| 20d | 2,915 | +2.64% | +44.43% | short | -2.76% | 37 | -0.02 |
| 60d | 2,798 | +11.23% | +46.71% | short | -11.63% | 47 | -0.03 |
| 252d | 2,745 | +47.23% | +50.93% | short | -48.06% | 96 | -0.04 |
Net PnL is direction × stock return − round-trip execution cost (5 bps half-spread + ADV-tiered borrow). See beneish_m_score_high methodology for the full audit.