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fcf_ni_divergence on ONEOK INC /NEW/ (OKE)
SIC 4923 — Natural Gas Transmisison & Distribution · CIK 1039684 · 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 OKE
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2019 | 2020-02-25 | 2020-02-25 | -0.43% | -7.28% | -70.04% | -48.76% | -28.53% |
| FY2015 | 2016-02-23 | 2016-02-23 | +0.99% | +13.56% | +41.76% | +91.49% | +165.07% |
| FY2014 | 2015-02-25 | 2015-02-25 | -3.13% | -0.79% | +3.68% | +0.59% | -49.34% |
| FY2013 | 2014-02-25 | 2014-02-25 | +0.39% | +1.48% | -0.70% | +9.31% | -19.56% |
| FY2012 | 2013-02-26 | 2013-02-26 | +1.80% | +2.23% | +4.87% | +9.45% | +56.36% |
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.