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fcf_ni_divergence on AMEREN CORP (AEE)
SIC 4931 — Electric & Other Services Combined · CIK 1002910 · default direction: short
Definition
Fires when free cash flow diverges substantially from net income — either NI >> FCF (low-quality earnings) or FCF >> NI (under-reported earnings).
Every time the signal fired on AEE
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2025 | 2026-02-18 | 2026-02-18 | +1.38% | +2.89% | +2.95% | — | — |
| FY2024 | 2025-02-18 | 2025-02-18 | -0.45% | +1.09% | +2.27% | -2.69% | +14.93% |
| FY2023 | 2024-02-29 | 2024-02-29 | +0.18% | +2.65% | +4.84% | +1.13% | +45.31% |
| FY2022 | 2023-02-22 | 2023-02-22 | -0.63% | -5.22% | -3.59% | -1.76% | -13.60% |
| FY2021 | 2022-02-23 | 2022-02-23 | -0.61% | +2.66% | +7.12% | +11.14% | +3.39% |
| FY2020 | 2021-02-22 | 2021-02-22 | +1.21% | +0.69% | +10.64% | +19.09% | +22.46% |
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 | 1,361 | +0.07% | +48.05% | short | -0.35% | 30 | -0.06 |
| 5d | 1,361 | +0.65% | +47.54% | short | -0.22% | 31 | -0.02 |
| 20d | 1,357 | +0.02% | +46.20% | short | +0.27% | 34 | +0.02 |
| 60d | 1,270 | +2.92% | +51.18% | short | -3.03% | 45 | -0.11 |
| 252d | 1,256 | +13.28% | +52.79% | short | -13.55% | 92 | -0.21 |
Net PnL is direction × stock return − round-trip execution cost (5 bps half-spread + ADV-tiered borrow). See fcf_ni_divergence methodology for the full audit.