Company Events & EarningsCore researchlive in production

Post-Earnings Drift

Updated dailyData needs: medium

In plain terms

After an earnings beat (vs analyst expectations), the price drifts up over the next 30-60 days — markets are slow to fully digest the surprise.

How it works

Post-Earnings Announcement Drift (Bernard-Thomas 1989): buy after an earnings surprise greater than 1σ, hold 30-60 days. Surprise is computed as (actual − consensus) / |consensus|, with σ taken from a trailing expanding window so prior thresholds don't leak future variance.

Live results

0 times picked on its own · 5 times inside a blend (4 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 5 such blended picks (4 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Earnings estimates
A data feed this strategy reads, refreshed on its normal schedule.
Earnings actuals
A data feed this strategy reads, refreshed on its normal schedule.
Daily bars
Daily OHLCV bars used by all price-based generators.

Expected edge

Reported return: ~9% ann. top-decile SUE
Reported Sharpe: 4-5% in OOS
Tested over: 1974-1986 (Bernard-Thomas)

~9% ann. on top decile SUE (Bernard-Thomas 1989); robust 4-5% in modern OOS

Example tickers where this is likely to fire

NVDA META AVGO

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Earnings-Announcement PremiumCompany Events & Earnings

Stocks earn an abnormal positive return in the 2 days before through 1 day after their scheduled earnings — uncertainty resolution premium.

Calendar AnomaliesEconomy & Policy

Three calendar quirks: turn-of-month (last/first days outperform), pre-FOMC drift, and day-of-week (Mon weak, Wed-Thu strong).

Explore Post-Earnings Drift on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

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