← margin_compression_severe (all companies) · GRPN (all signals) · all methodology
margin_compression_severe on Groupon, Inc. (GRPN)
SIC 7311 — Services-Advertising Agencies · CIK 1490281 · 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 GRPN
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2020 | 2021-02-25 | 2021-02-25 | +17.39% | +64.24% | +29.19% | +22.99% | -37.38% |
| FY2014 | 2015-02-13 | 2015-02-13 | +1.13% | +2.76% | -1.88% | -15.56% | -48.81% |
| FY2013 | 2014-02-21 | 2014-02-21 | -3.11% | +3.49% | +3.24% | -24.66% | +1.99% |
| FY2012 | 2013-02-27 | 2013-02-27 | -24.25% | -11.37% | +3.85% | +19.23% | +42.47% |
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.