Strategies · Core
Reversal in Post-Earnings Announcement Drift
Fade an already-extended PEAD move — a reversal overlay on the earnings-drift anomaly, not the drift itself.
Definition
After the announcement drift has run, a subset of names mean-revert. The rule identifies over-extended post-earnings winners/losers and fades them. You need a definition of ‘extended’ that is not yesterday’s residual.
Why it matters
PEAD itself is long the surprise; this is the other side after the crowd is in. Easy to overfit the ‘too far’ threshold.
Case
A mega-cap beat that drifts for weeks because the revision cycle is real. Fading it is fighting the revision, not harvesting noise.
How to read it
Separate PEAD (with the surprise) from this fade. If you run both, they can cancel.
No query has been run yet. Which is tragically normal for most knowledge systems, but we are trying to evolve past decorative databases.