Company Events & EarningsExtended setlive in productionNew

SUE Zscore Drift

Updated event-drivenData needs: lowlong onlyshort onlylong short

1989

#109 sue_zscore_drift — Bernard-Thomas 1989 JAE / Foster-Olsen-Shevlin 1984 SUE drift refinement.

In plain terms

PEAD using the standardized SUE z-score instead of raw surprise %. SUE is the academic canonical form — it accounts for how noisy each company's analyst consensus is.

How it works

Bernard-Thomas 1989 JAE: SUE z-score (actual − consensus)/σ(consensus) outperforms raw surprise % as the PEAD signal because it conditions on the ticker's own consensus-dispersion noise. Original effect: top-decile SUE +6-8% over 60d, bottom-decile -5-7%. We approximate σ(consensus) by 12Q rolling std of own surprise_pct — within-ticker SUE.

Live results

3 times picked on its own · 13 times inside a blend (11 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 13 such blended picks (11 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)

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Data dependencies

Earnings history
A data feed this strategy reads, refreshed on its normal schedule.
Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Reported return: +6-8% / -5-7% over 60d
Tested over: 1974-1986 (in-sample)

Bernard-Thomas 1989: 6-8% (long top) / -5-7% (short bottom) over 60d.

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