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profit_to_loss on Cherry Hill Mortgage Investment Corp (CHMI)
SIC 6798 — Real Estate Investment Trusts · CIK 1571776 · default direction: short
Definition
Fires when a previously-profitable company swings to net loss in the current fiscal year. Often early warning of structural problems.
Every time the signal fired on CHMI
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2023 | 2024-03-07 | 2024-03-07 | -10.87% | -9.51% | -1.37% | +5.43% | +11.34% |
| FY2019 | 2020-02-27 | 2020-02-27 | -3.84% | -2.29% | -44.37% | -40.58% | -25.87% |
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 | 3,667 | -0.22% | +42.21% | short | -0.13% | 35 | -0.02 |
| 5d | 3,667 | +0.28% | +43.50% | short | -0.21% | 36 | -0.01 |
| 20d | 3,616 | +0.23% | +44.16% | short | +0.79% | 40 | +0.04 |
| 60d | 3,386 | +4.37% | +49.00% | short | -3.72% | 51 | -0.06 |
| 252d | 3,297 | +20.41% | +51.05% | short | -17.43% | 102 | -0.13 |
Net PnL is direction × stock return − round-trip execution cost (5 bps half-spread + ADV-tiered borrow). See profit_to_loss methodology for the full audit.