← beneish_m_score_high (all companies) · CROX (all signals) · all methodology
beneish_m_score_high on Crocs, Inc. (CROX)
SIC 3021 — Rubber & Plastics Footwear · CIK 1334036 · 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 CROX
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2022 | 2023-02-16 | 2023-02-16 | +0.21% | -6.74% | -8.60% | -9.76% | -11.90% |
| FY2021 | 2022-02-16 | 2022-02-16 | -13.41% | -11.51% | -16.10% | -38.46% | +38.68% |
| FY2020 | 2021-02-23 | 2021-02-23 | -2.84% | -2.17% | -6.09% | +23.45% | +1.47% |
| FY2019 | 2020-02-27 | 2020-02-27 | -8.01% | -15.11% | -35.22% | -6.12% | +169.67% |
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.