← margin_compression_severe (all companies) · CF (all signals) · all methodology
margin_compression_severe on CF Industries Holdings, Inc. (CF)
SIC 2870 — Agricultural Chemicals · CIK 1324404 · default direction: short
Definition
Fires on >500 bps year-over-year decline in operating margin. Captures the 'good business getting worse' pattern.
Every time the signal fired on CF
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2023 | 2024-02-22 | 2024-02-22 | +0.89% | +1.28% | +7.47% | -3.72% | +0.87% |
| FY2020 | 2021-02-24 | 2021-02-24 | -4.01% | -3.48% | -7.94% | +7.74% | +56.37% |
| FY2017 | 2018-02-22 | 2018-02-22 | +2.68% | -3.07% | -13.27% | -3.03% | +3.40% |
| FY2016 | 2017-02-23 | 2017-02-23 | -2.11% | -0.82% | -7.64% | -9.26% | +43.79% |
| FY2014 | 2015-02-26 | 2015-02-26 | -0.12% | -1.08% | -4.03% | +5.19% | -41.44% |
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 | 2,429 | +2.00% | +36.27% | short | -2.03% | 46 | -0.02 |
| 5d | 2,429 | +3.35% | +38.74% | short | -2.80% | 47 | -0.02 |
| 20d | 2,364 | +6.26% | +38.32% | short | -4.81% | 52 | -0.03 |
| 60d | 2,266 | +78.74% | +40.47% | short | -75.14% | 65 | -0.03 |
| 252d | 2,195 | +41.39% | +39.77% | short | -31.94% | 126 | -0.09 |
Net PnL is direction × stock return − round-trip execution cost (5 bps half-spread + ADV-tiered borrow). See margin_compression_severe methodology for the full audit.