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dso_drift_severe on CF Industries Holdings, Inc. (CF)
SIC 2870 — Agricultural Chemicals · CIK 1324404 · default direction: short
Definition
Fires on Days Sales Outstanding rising >25% YoY while revenue grows <10%. Channel-stuffing / receivables-quality precursor.
Every time the signal fired on CF
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2023 | 2024-02-22 | 2024-02-22 | +0.89% | +1.28% | +7.47% | -3.72% | +0.87% |
| FY2015 | 2016-02-25 | 2016-02-25 | +5.40% | +9.14% | -3.68% | -12.93% | -1.88% |
| FY2009 | 2010-02-25 | 2010-02-25 | +0.81% | +2.69% | -14.57% | -35.25% | +27.69% |
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 | 2,382 | +0.25% | +44.16% | short | -0.49% | 35 | -0.04 |
| 5d | 2,381 | -0.30% | +44.18% | short | +0.11% | 36 | +0.01 |
| 20d | 2,351 | +2.47% | +43.26% | short | -2.54% | 40 | -0.02 |
| 60d | 2,258 | +16.34% | +45.44% | short | -11.34% | 51 | -0.06 |
| 252d | 2,213 | +32.55% | +49.30% | short | -24.65% | 102 | -0.10 |
Net PnL is direction × stock return − round-trip execution cost (5 bps half-spread + ADV-tiered borrow). See dso_drift_severe methodology for the full audit.