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fcf_ni_divergence on Green Brick Partners, Inc. (GRBK)
SIC 1531 — Operative Builders · CIK 1373670 · 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 GRBK
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2018 | 2019-03-08 | 2019-03-08 | +3.37% | -0.79% | +6.74% | +3.48% | +8.88% |
| FY2017 | 2018-03-12 | 2018-03-12 | +0.00% | -0.95% | +4.76% | +13.81% | -13.05% |
| FY2015 | 2016-03-30 | 2016-03-30 | -1.04% | -3.65% | -3.52% | -2.87% | +31.03% |
| FY2013 | 2014-03-26 | 2014-03-26 | -2.95% | +106.89% | +188.20% | +136.07% | +297.82% |
| FY2012 | 2013-04-01 | 2013-04-01 | -2.14% | -11.65% | -15.92% | -38.45% | +41.75% |
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.