Monday, November 16, 2015 at 6:00PM
Deltix, a leading provider of software and services for quantitative research, algorithmic and automated systematic trading, announced today the results of their recent research that tested whether earnings announcement date revisions for S&P 500 stocks can be used to predict future stock prices in a manner that can be profitably traded.
A summary of the research methodology and results can be found here.
A copy of the research report can be downloaded here.
The research concludes that positive returns can be achieved by trading with earnings date revision signals derived from Wall Street Horizon data. Wall Street Horizon, a provider of accurate and timely corporate event dates and information, is the only company that could provide an historical record of earnings date changes.
Additionally, the results supported previous academic research on the topic and found that:
- The most likely positive returns occurred when the earnings announcement date was advanced (i.e. brought forward) in the second half of the quarter.
- Conversely, the most probable negative returns occurred when the earnings announcement date was delayed in the first half of the quarter.
- For both hedged and un-hedged versions of the strategy, for the period January 2006 to September 2015, the back-tested strategies showed Sharpe Ratios of 2.08 (un-hedged) and 2.12 (hedged) with average profit per share of 10 cents and 8 cents respectively.
“We look forward to sharing the details of this research with our clients as we are convinced there is money that can be made with a trading strategy built around earnings date changes,” said Ilya Gorelik, founder and CEO of Deltix. “I would also like to thank Wall Street Horizon for providing us with data sets that made this study possible.”