{"id":46316,"date":"2022-07-25T20:15:05","date_gmt":"2022-07-26T00:15:05","guid":{"rendered":"https:\/\/www.bloomberg.com\/professional\/insights\/data\/earning-surprise-betting-strategy-performance\/"},"modified":"2024-04-24T13:52:08","modified_gmt":"2024-04-24T17:52:08","slug":"earning-surprise-betting-strategy-performance","status":"publish","type":[3762],"link":"https:\/\/www.bloomberg.com\/professional\/insights\/data\/earning-surprise-betting-strategy-performance\/","title":{"rendered":"Earning surprise betting strategy performance"},"content":{"rendered":"<div  class=\"bbg-row-container\">\n    <style>section[data-anchor=row-6a04b92e9f6da]::before {\n\t\t\t\tbackground-color: #eeeeee;\n\t\t\t}<\/style>\n    <section class=\"bbg-row bg--custom-color  bg--eeeeee text--black bbg-row--full-bg-bleed\" data-anchor='row-6a04b92e9f6da'>\n        \n        \n        <div\n            class=\"bbg-row--content\"\n                    >\n            \n            <p><div\n    class=\"bbg-column bbg-column--width-2\"\n    style=\"\"\n    >\n    \n<\/div><div\n    class=\"bbg-column bbg-column--width-8 bbg-column--valign-bottom\"\n    style=\"\"\n    >\n    <p>    <ul class=\"bbg-categories_list\">\n                    <li>\n                <a href=\"https:\/\/www.bloomberg.com\/professional\/insights\/category\/data\/\" rel=\"category tag\">\n                    Data\n                <\/a>\n            <\/li>\n            <\/ul>\n<div\n    class=\"bbg-spacer\"\n        style=\"height: 24px !important\"\n    >\n<\/div>    <h1 class=\"bbg-metadata bbg-metadata--title\">Earning surprise betting strategy performance<\/h1>\n<\/p>\n\n<\/div>\n\n\n                    <\/div>\n    <\/section>\n<\/div>\n\n<div  class=\"bbg-row-container\">\n    <section class=\"bbg-row  text--black row-padding--top-compact row-padding--bottom-none bbg-row--full-bg-bleed\" data-anchor='row-6a04b92ea5101'>\n        \n        \n        <div\n            class=\"bbg-row--content\"\n                    >\n            \n            <p><div\n    class=\"bbg-column bbg-column--width-2\"\n    style=\"\"\n    >\n    \n<\/div><div\n    class=\"bbg-column bbg-column--width-8\"\n    style=\"\"\n    >\n    <p><div\n    class=\"bbg-spacer\"\n        style=\"height: 40px !important\"\n    >\n<\/div><div\n\tclass=\"bb-wysiwyg byline\"\n\t\t>\n\t<p><strong>Bloomberg Professional Services  <\/strong><\/p>\n\n<\/div>\n    <p class=\"bbg-metadata bbg-metadata--date\">July 25, 2022<\/p>\n<\/p>\n\n<\/div>\n\n\n                    <\/div>\n    <\/section>\n<\/div>\n\n<div  class=\"bbg-row-container\">\n    <section class=\"bbg-row  text--black row-padding--top-none bbg-row--full-bg-bleed\" data-anchor='row-6a04b92ea703e'>\n        \n        \n        <div\n            class=\"bbg-row--content\"\n                    >\n            \n            <p><div\n    class=\"bbg-column bbg-column--width-2\"\n    style=\"\"\n    >\n    \n<\/div><div\n    class=\"bbg-column bbg-column--width-8\"\n    style=\"\"\n    >\n    <p><div\n\tclass=\"bb-wysiwyg\"\n\t\t>\n\t<p>Earnings expectations and earnings forecasts are a central focus in the financial industry.\u00a0Stock price adjusts according to a company&#8217;s ability to increase earnings as well as to meet or beat analysts&#8217; consensus estimates.\u00a0Betting on earning reports is a popular strategy which focuses on the earning surprise: the percent difference between the actual and estimated earnings per share.\u00a0In this paper, we first backtest the historical performance of the earning surprise betting strategy and deem it profitable.\u00a0Based on this conclusion, we investigate several machine learning model architectures to predict the earnings surprise using historical fundamental data along with Bloomberg Estimate EPS.\u00a0We also backtest the strategy using the earnings surprise projected by different models and find that the attention-based model yields the best performance.<\/p>\n\n<\/div>\n<div class=\"bbg-interstitial\" aria-label=\"interstitial\" tabindex=\"0\">\n\t<style>\n\t\t.bbg-interstitial #card_1.bbg-card_hasCta{\n\t\t\tbackground:rgba(0,0,0,0);\n\t\t\tpadding: 104px;\n\t\t\t\n\t\t\t\n\t\t}\n\t\t.bbg-interstitial #card_1.bbg-card_hasCta .bbg-card__content, .bbg-interstitial #card_1.bbg-card_hasCta .bbg-card__content p{\n\t\t\tcolor:inherit;\n\t\t}\n\t\t@media (max-width: 768px) {\n\t\t\t.bbg-interstitial #card_1.bbg-card_hasCta{\n\t\t\t\tpadding: 80px 32px;\n\t\t\t}\n\t\t}\n\t\t@media (max-width: 480px) {\n\t\t\t.bbg-interstitial #card_1.bbg-card_hasCta{\n\t\t\t\tpadding: 80px 18px;\n\t\t\t}\n\t\t}\n\t<\/style>\n\t<div class=\"wpb_content_element bbg-card  bbg-card-dark bbg-card_hasCta has_interstitial\" id=\"card_1\" data-card_type=\"no_image\">\n  \n  \n  <div class=\"bbg-card__innerwrapper\">\n    <div class=\"bbg-card__content\">\n      \n      \n                      <h3 class=\"bbg-card__title\">How can earning surprise be used to gain insights into stock performance?<\/h3>\n      \n              <div class=\"bbg-card__wysiwyg bb-wysiwyg\"><p>Download the whitepaper<\/p>\n<\/div>\n          <\/div>\n\n          \n<div\n  id=\"cta_1464626490322513784\"\n  class=\"wpb_content_element bbg-cta icon icon-arrow\">\n  <style>\n    \n    \n    \n  <\/style>\n  <div\n    class=\"bbg-cta-link link-holder\"\n    data-links-type=\"cta-links\">\n    <p class=\"bbg-cta-p right\">\n      <a\n        class=\"bbg-cta-link link interstitial_cta\"\n        href=\"https:\/\/assets.bbhub.io\/professional\/sites\/10\/earning_surprise_prediction_china.pdf\"\n        target=\"_blank\"\n        rel=\"\"\n        data-section-name=\"\"\n                role=\"button\"\n        aria-label=\"Learn more\"\n        >\n                <\/a>\n    <\/p>\n  <\/div>\n<\/div>\n\n      <\/div>\n\n  <\/div>\n\n<\/div>\n<div\n\tclass=\"bb-wysiwyg\"\n\t\t>\n\t<h2>Bloomberg estimates data<\/h2>\n<p>Bloomberg&#8217;s estimates dataset delivers three types of key forward-looking measures: consensus estimates, analyst recommendations, and company guidance.\u00a0Consensus estimates fields include all key Income Statement, Balance Sheet and Cash Flow measures from Sales, EPS to Net Debt and Free Cash Flow.\u00a0Both Generally Accepted Accounting Principles (GAAP) and Adjusted fields are available for Net Income and EPS.\u00a0For selected fields, measures of high, low, medium, four-week change, and number of contributions are also provided for additional context on the data distribution.\u00a0For the purpose of this paper, we focus on the consensus estimate of quarterly EPS.<\/p>\n<h2>Bloomberg fundamentals<\/h2>\n<p>Bloomberg covers the entire financial reporting process of companies &#8211; from earnings to preliminary releases to full fundamentals.\u00a0With fundamentals data on more than 85,000 companies (both active and inactive) starting from the late 1980s, this dataset is the backbone of Bloomberg&#8217;s Equity solutions.\u00a0Bloomberg&#8217;s fundamental coverage includes current and normalized historical data for the balance sheet, income statement, cash flows statement and financial ratios, as well as industry-specific data for communications, consumer, energy, health care and many more.<\/p>\n<h2>Advanced machine learning techniques<\/h2>\n<p>We build a trading strategy based on the model predicted earning surprise.\u00a0For each quarter from 2019 Q1 to 2021 Q4, stocks with top sixth earning surprise are included in the portfolio and held for one day.\u00a0We use different architectures for earning surprise prediction, including linear regression, multi-layer perceptron, long short-term memory, and attention-based model.\u00a0Among all these techniques, attention-based model yields best results.<\/p>\n<h2>Backtesting results<\/h2>\n<p>We test the performance of the benchmark strategy (a strategy purely based on historical earning surprise) and attention-model-based strategies from 2019 Q1 to 2021 Q4. Both benchmark and attention-model-based strategies show attractive Sharpe ratio and cumulative return. The attention-model-based strategy outperforms the benchmark strategy in terms of both cumulative return and Sharp ratio in the testing period.<\/p>\n<p><a href=\"https:\/\/assets.bbhub.io\/professional\/sites\/10\/earning_surprise_prediction_china.pdf\">Download the whitepaper<\/a> to learn more about trading strategies using earning surprise.<\/p>\n\n<\/div>\n\n<\/div><div\n    class=\"bbg-column bbg-column--width-2\"\n    style=\"\"\n    >\n    \n<\/div>\n\n\n                    <\/div>\n    <\/section>\n<\/div>\n\n<div  class=\"bbg-row-container\">\n    <style>section[data-anchor=row-6a04b92eabc88]::before {\n\t\t\t\tbackground-color: #eeeeee;\n\t\t\t}<\/style>\n    <section class=\"bbg-row bg--custom-color  bg--eeeeee text--black bbg-row--full-bg-bleed\" data-anchor='row-6a04b92eabc88'>\n        \n        \n        <div\n            class=\"bbg-row--content\"\n                    >\n            \n            <div\n    class=\"bbg-column\"\n    style=\"\"\n    >\n    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Now, let us do that for you.<\/p>\n<\/div>\n          <\/div>\n\n          \n<div\n  id=\"cta_6313484896389483634\"\n  class=\"wpb_content_element bbg-cta icon icon-arrow\">\n  <style>\n    \n    \n    \n  <\/style>\n  <div\n    class=\"bbg-cta-link link-holder\"\n    data-links-type=\"cta-links\">\n    <p class=\"bbg-cta-p right\">\n      <a\n        class=\"bbg-cta-link link interstitial_cta\"\n        href=\"https:\/\/www.bloomberg.com\/professional\/request-demo\/\"\n        target=\"\"\n        rel=\"\"\n        data-section-name=\"\"\n                role=\"button\"\n        aria-label=\"Learn more\"\n        >\n                <\/a>\n    <\/p>\n  <\/div>\n<\/div>\n\n      <\/div>\n\n  <\/div>\n\n<\/div>\n\n\n<\/div>\n\n\n                    <\/div>\n    <\/section>\n<\/div>\n","protected":false},"excerpt":{"rendered":"<p>Earnings expectations and earnings forecasts are central focus of the financial 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