I predict earnings surprises for companies in the Russell 1000 for Institutional Investors.
My track record: 60% of my calls have had a positive return. The average return per trade is 1% for a 2 day hold.
Why earnings surprises Like Willie Sutton said about robbing banks, "because that's where the money is." Stock prices move th emost on earnings day because of earnings surprises. Up or down. It's almost pure Alpha.
My System: It is based on fundamentals (i.e. not technicals).
What to expect Each week, prior to earnings releases, I will publish: company, position to take (long or short), and specific dates to open/close the position.
Note: Be advised that actual earnings release dates may vary from those I post. It is up to you to confirm the actual dates. The results tallied here are based on the actual release dates.
Calculating Returns For simplicity sake, returns will be calculated as the difference between the closing price on the day the position was opened and the closing price on the day the position was closed. All trades are opened the day before (regardless of earnings release before or after market close) and closed 2 trading days after release.
We still beat the S&P but 2Q was a tough quarter. Performance was below par for us. The Retail sector was not our friend; ex-Retail, ~0.8% average per trade (close to historical run-rate)
No trades for next week.
|WEEK||S&P 500 RETURN||SOUTHBAY RETURN (AVG. PER TRADE)||# Trades||Notes|
|24-Mar||-0.48%||-2.30%||4||Due to copy/paste error, the calls for GME & RHT were reversed. Data given to Hedge Funds was correct and they enjoyed effectively the opposite (+2.8%)|
|2-Jun||1.34%||-3.29%||5||SJM finally released|
|9-Jun||-0.68%||1.53%||4||Had the wrong dates for MW - posted Friday AFTER earnings release on Thursday so trade could not have happened.|
|16-Jun||1.39%||-1.73%||5||KBR finally released earnings|
|21-Jul||0.01%||0.83%||21||ALB & CHH did not report this week|
|4-Aug||0.33%||0.39%||15||CHH Released. TWX cancelled acquisition monkey hammered the results|
|11-Aug||1.19%||-0.15%||10||ADSK beats revenues, beats earnings, raises guidance, gets slapped down hard. Makes sense in a Bizarro Universe.|
|18-Aug||1.69%||-2.91%||9||Crushed by retailers: SHLD(-8%), AEO (-9%), TJX (-16%)|
|25-Aug||0.20%||-3.53%||4||Crushed by retailers yet again: WSM (-12%)|
|1-Sep||0.25%||-0.84%||7||Hit by retailers yet again: COST (-5%)|
|8-Sep||-1.15%||-2.28%||5||Hit by retailers yet again: BURL (-5%), FIVE (-4%), RSH (-15%)|