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positive_eps_streak on KKR Real Estate Finance Trust Inc. (KREF)
SIC 6798 — Real Estate Investment Trusts · CIK 1631596 · default direction: long
Definition
Fires on companies with consecutive years of positive earnings — quality compounder candidates. Surfaces stable franchises with earnings durability, not speculative growth.
Every time the signal fired on KREF
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2022 | 2023-02-07 | 2023-02-07 | -5.23% | -4.47% | -15.06% | -33.79% | -29.60% |
| FY2021 | 2022-02-08 | 2022-02-08 | -0.47% | -1.65% | -5.23% | -6.05% | -24.14% |
| FY2020 | 2021-02-16 | 2021-02-16 | -2.54% | -2.43% | +0.37% | +4.92% | +20.30% |
| FY2019 | 2020-02-19 | 2020-02-19 | +0.56% | -3.18% | -50.93% | -31.66% | -4.94% |
| FY2018 | 2019-02-20 | 2019-02-20 | +0.15% | +0.30% | -0.35% | +2.56% | +15.98% |
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 | 21,256 | +0.05% | +49.53% | long | -0.16% | 22 | -0.04 |
| 5d | 21,258 | +0.10% | +50.10% | long | -0.10% | 22 | -0.00 |
| 20d | 21,218 | -0.80% | +49.80% | long | -1.03% | 22 | -0.04 |
| 60d | 19,852 | +1.64% | +54.15% | long | +1.48% | 22 | +0.04 |
| 252d | 19,501 | +13.65% | +64.44% | long | +13.47% | 22 | +0.27 |
Net PnL is direction × stock return − round-trip execution cost (5 bps half-spread + ADV-tiered borrow). See positive_eps_streak methodology for the full audit.