Screener for Stocks with Pre-Earnings Run-Ups
Earnings season is always a crucial time for investors, offering the potential for significant market movements. While the spotlight often shines on post-earnings reactions, some stocks exhibit historical strength leading up to their earnings announcements. These pre-earnings run-ups can present intriguing opportunities for traders and investors alike.
The challenge, however, lies in identifying these stocks efficiently, without the need for manual analysis of each one. To tackle this problem, we turned to the MarketChameleon Earnings Pattern Screener, armed with a few strategic filters. Our objective was to screen for stocks that historically displayed these pre-earnings tendencies.
Filtering for Pre-Earnings Strength
To narrow down our search, we set the following criteria:
1. Market Cap Above $100 Billion: This filter ensures that we focus on established, large-cap stocks.
2. Time Frame: We considered a time frame of one week leading up to the earnings date, capturing the crucial pre-earnings period.
3. S&P 500 Inclusion: Limiting our selection to S&P 500 constituents adds an extra layer of stability and recognition to our screened stocks.
The Results: Top Stocks with Historical Run-Ups
Source: Market Chameleon Earnings Pattern Screener
We sorted the stocks by their "Win Rate," representing the frequency of positive returns in the last 12 earnings quarters. The top five stocks that emerged from our screening process were:
1. KO (The Coca-Cola Company): With an impressive 92% Win Rate, KO demonstrated consistent pre-earnings strength.
2. GS (Goldman Sachs Group Inc.): GS exhibited an 83% Win Rate, showcasing its historical run-up tendencies.
3. JPM (JPMorgan Chase & Co.): JPM mirrored GS with an 83% Win Rate, a testament to its pre-earnings performance.
4. AMD (Advanced Micro Devices, Inc.): AMD displayed an 83% Win Rate, solidifying its position among consistent performers.
5. XOM (Exxon Mobil Corporation): XOM, while slightly lower with an 83% Win Rate, still showcased its historical strength.
What was the Extent of the Pre-Earnings Increase in these Stocks?
The historical frequency of pre-earnings run-ups represents just one aspect of our analysis, and we didn't limit our investigation there. We also examined the average returns during these periods to gauge the extent of the stock price increases, providing insights into the potential magnitudes of these movements.
Impressively, all of these stocks demonstrated substantial average increases, exceeding 1.3% during the week leading up to earnings. AMD stood out with the highest average returns, soaring by +4.8%, while KO and JPM delivered solid +1.3% gains. GS posted an average increase of +2.2%, and XOM averaged a respectable 1.7% rise.
What were the Max Drawdowns Experienced by these Stocks?
While the gains were promising, it's essential to acknowledge the potential downside. These stocks displayed varying maximum drawdowns in the 12 observed quarters, ranging from a minor -0.2% to a more substantial -4.8%, as seen in the case of XOM.
Other Key Statistics
To gain a more comprehensive understanding, we also considered other key metrics including:
Median Return: Provides information about the central tendency of returns.
Best Return: Highlights the maximum positive return observed.
Standard Deviation: Measures the volatility of returns.
Sharpe Ratio: Evaluates risk-adjusted returns by dividing average returns by standard deviation.
In Conclusion
Utilizing the MarketChameleon Earnings Pattern Screener, we identified stocks with compelling historical pre-earnings run-up trends.
Analyzing key statistics like win rates, average gains, drawdowns, and risk-adjusted returns provides valuable insights into potential pre-earnings behavior.
This information can serve as a starting point for further research and inform investment decisions.
Note: It is important to remember that past performance does not guarantee future results. Always conduct thorough due diligence before making any investment decisions.
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About the Publisher - Marketchameleon.com:
Marketchameleon is a comprehensive financial research and analysis website specializing in stock and options markets. We leverage extensive data, models, and analytics to provide valuable insights into these markets. Our primary goal is to assist traders in identifying potential market developments and assessing potential risks and rewards.
NOTE: Stock and option trading involves risk that may not be suitable for all investors. Examples contained within this report are simulated And may have limitations. Average returns and occurrences are calculated from snapshots of market mid-point prices And were Not actually executed, so they do not reflect actual trades, fees, or execution costs. This report is for informational purposes only, and is not intended to be a recommendation to buy or sell any security. Neither Market Chameleon nor any other party makes warranties regarding results from its usage. Past performance does not guarantee future results. Please consult a financial advisor before executing any trades. You can read more about option risks and characteristics at theocc.com.
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