← fcf_ni_divergence (all companies) · GHM (all signals) · all methodology
fcf_ni_divergence on GRAHAM CORP (GHM)
SIC 3560 — General Industrial Machinery & Equipment · CIK 716314 · 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 GHM
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2021 | 2022-06-09 | 2022-06-09 | +2.44% | -16.63% | -23.50% | -3.55% | +44.12% |
| FY2020 | 2021-06-02 | 2021-06-02 | -1.06% | -5.01% | -7.76% | -17.15% | -49.73% |
| FY2011 | 2012-06-07 | 2012-06-07 | +0.90% | +1.68% | +2.86% | +6.91% | +53.29% |
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.