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margin_compression_severe on CLEVELAND-CLIFFS INC. (CLF)
SIC 1000 — Metal Mining · CIK 764065 · 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 CLF
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2019 | 2020-02-20 | 2020-02-20 | -1.39% | -20.31% | -52.71% | -42.06% | +140.52% |
| FY2015 | 2016-02-24 | 2016-02-24 | -1.08% | +51.08% | +39.78% | +56.99% | +467.20% |
| FY2014 | 2015-02-25 | 2015-02-25 | +0.30% | -0.59% | -25.00% | -25.59% | -72.78% |
| FY2012 | 2013-02-12 | 2013-02-12 | -19.99% | -25.07% | -37.59% | -37.78% | -38.50% |
| FY2009 | 2010-02-18 | 2010-02-18 | +5.30% | +9.10% | +26.84% | +6.31% | +84.03% |
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.