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fcf_ni_divergence on PUBLIC SERVICE ENTERPRISE GROUP INC (PEG)
SIC 4931 — Electric & Other Services Combined · CIK 788784 · 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 PEG
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2024 | 2025-02-25 | 2025-02-25 | -0.36% | -2.19% | -1.39% | -5.66% | +6.47% |
| FY2022 | 2023-02-22 | 2023-02-22 | -0.43% | -3.72% | -5.12% | +1.99% | +3.74% |
| FY2018 | 2019-02-28 | 2019-02-28 | +0.75% | +1.13% | +0.77% | +4.83% | -9.95% |
| FY2017 | 2018-02-26 | 2018-02-26 | -3.00% | -4.43% | -2.79% | +1.44% | +20.58% |
| FY2016 | 2017-02-27 | 2017-02-27 | +0.81% | -1.10% | -0.96% | -2.44% | +10.99% |
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.