// STUDY RESULT · 1998-01 TO 2026-09

Earnings-Surprise Momentum

NO EDGE

Both prior price performance and prior earnings news predict subsequent returns. Sorting on earnings surprises provides a momentum signal distinct from price-only momentum.

How this run differs from the source: The earnings-surprise (SUE) leg only, 20 names held one month; the paper also sorts on past returns and holds 6 to 12 months.

	THE STRATEGY	$SPXTR BUY & HOLD
CAGR	9.2%	9.3%
Sharpe ratio	0.59	0.66
Max drawdown	-50.1%	-50.9%

// GROWTH OF $1, LOG SCALE

AMBER: THE STRATEGY · GREY: $SPXTR BUY & HOLD

Out-of-sample (from the split): CAGR 9.4% against 14.0% for the benchmark; Sharpe 0.60 in-sample, 0.57 out-of-sample.

After 25 bps of trading costs: 8.1% a year. WITHIN RANDOM

// DECADE BY DECADE

ERA	STRATEGY	BENCHMARK
1990s	7.3%	20.9%
2000s	3.7%	-0.8%
2010s	17.0%	14.0%
2020s	7.2%	15.2%

// YEAR BY YEAR, LOSING YEARS IN RED

1998*27.2%27.2%

1999-4.8%21.0%

200039.4%-9.1%

2001-8.9%-11.9%

2002-23.6%-22.1%

200320.1%28.7%

200427.0%10.9%

20055.3%4.9%

20067.7%15.8%

200710.8%5.5%

2008-36.9%-37.0%

200914.3%26.5%

201021.4%15.1%

20117.8%2.1%

201216.5%16.0%

201359.5%32.4%

201414.0%13.7%

20157.1%1.4%

20166.9%12.0%

201723.8%21.8%

20181.8%-4.4%

201919.5%31.5%

202018.7%18.4%

202128.6%28.7%

2022-33.6%-18.1%

202327.8%26.3%

202427.3%25.0%

20250.2%17.9%

2026*-1.2%11.8%

Losing years: 1999 (-4.8%), 2001 (-8.9%), 2002 (-23.6%), 2008 (-36.9%), 2022 (-33.6%), 2026 (-1.2%). Each cell: the strategy, then the benchmark below it. * a part year.

// THE IDEA, AS PUBLISHED

Louis K. C. Chan, Narasimhan Jegadeesh & Josef Lakonishok (1996), Momentum Strategies, The Journal of Finance · 1996

Measure earnings news three ways: SUE, announcement abnormal return, analyst forecast revisions
Sort stocks into equal-weighted deciles on each measure and on prior 6-month return
Long top decile, short bottom; track returns over the next 6 and 12 months

RUN IT YOURSELF ▸ IN THE LIBRARY

A real computation on the QuantGPT warehouse, walk-forward. A study across the whole market includes only part of the companies that later delisted from 1998 (survivors only before); a study on your own list of tickers is not affected. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-11-06 12:49 ON THE QUANTGPT WAREHOUSE. COMPANIES THAT LATER DELISTED ARE ONLY PARTLY IN THIS UNIVERSE (A FIX IS IN PROGRESS), SO THE RESULT LEANS TOWARD SURVIVORS. FUNDAMENTALS BY FILING DATE. NOT INVESTMENT ADVICE. PRIVACY