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profit_to_loss on Invesco DB Commodity Index Tracking Fund (DBC)
SIC 6221 — Commodity Contracts Brokers & Dealers · CIK 1328237 · 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 DBC
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2023 | 2024-02-23 | 2024-02-23 | +0.92% | +1.66% | +4.46% | +10.03% | +7.28% |
| FY2020 | 2021-02-26 | 2021-02-26 | -0.84% | +3.83% | +0.24% | +9.98% | +40.29% |
| FY2018 | 2019-02-28 | 2019-02-28 | -1.13% | -1.13% | -0.44% | -2.07% | -13.36% |
| FY2013 | 2014-03-03 | 2014-03-03 | -0.38% | -1.59% | -1.40% | -1.02% | -31.97% |
| FY2011 | 2012-02-28 | 2012-02-28 | -0.37% | -1.94% | -0.92% | -11.82% | -8.46% |
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.