By simply going long stocks with the largest predicted +ve EPS surprises (short stocks with largest predicted -ve EPS surprises), we can see TrueBeats generates even stronger returns during bear markets!
Using quarterly S&P 500 returns to classify bull & bear market quarters, we can see that TrueBeats accurately and consistently predicts EPS surprises across both bullish & bearish periods:
ExtractAlpha’s TrueBeats leverages forecasts from the most accurate and timely expert analysts, along with trends in stock- and peer-specific surprises and measurements of earnings management, to accurately predict the direction of EPS & Revenue surprises up to 80% of the time. For more information:
After residualizing the signal’s return to 7 risk factors and 45 industries from our risk model, we find that 92% of the return is still unexplained: