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beneish_m_score_high on Penumbra Inc (PEN)
SIC 3841 — Surgical & Medical Instruments & Apparatus · CIK 1321732 · 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 PEN
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2022 | 2023-02-23 | 2023-02-23 | +2.16% | -0.31% | +6.15% | +21.35% | -11.64% |
| FY2021 | 2022-02-22 | 2022-02-22 | -5.79% | +3.55% | -1.75% | -33.28% | +20.84% |
| FY2019 | 2020-02-26 | 2020-02-26 | +1.78% | +3.38% | -14.40% | +2.57% | +65.82% |
| FY2017 | 2018-02-27 | 2018-02-27 | +3.74% | +11.17% | +10.98% | +49.90% | +28.16% |
| FY2016 | 2017-02-28 | 2017-02-28 | +6.12% | -3.19% | +6.05% | +9.31% | +40.89% |
| FY2015 | 2016-03-08 | 2016-03-08 | -3.62% | +5.85% | +5.05% | +22.94% | +69.53% |
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.