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dso_drift_severe on LIQUIDITY SERVICES INC (LQDT)
SIC 7389 — Services-Business Services, NEC · CIK 1235468 · 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 LQDT
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2022 | 2022-12-08 | 2022-12-08 | -9.80% | -9.87% | -1.20% | -9.16% | +21.63% |
| FY2019 | 2019-12-10 | 2019-12-10 | -4.02% | -12.07% | -9.44% | -38.85% | +144.43% |
| FY2017 | 2017-12-07 | 2017-12-07 | -3.93% | +2.62% | +6.99% | +56.11% | +43.23% |
| FY2016 | 2016-11-21 | 2016-11-21 | +4.08% | -2.55% | +5.10% | -13.27% | -42.86% |
| FY2013 | 2013-11-21 | 2013-11-21 | +3.31% | +9.65% | +5.40% | +18.22% | -51.02% |
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.