The Post-Earnings Drift Playbook

Trade the 60-day drift after earnings surprises. A systematic framework for the most-documented anomaly in equity markets.

The PEAD framework

• The original Bernard-Thomas research summarized for traders: why drift persists despite 50 years of academic exposure
• The five-factor scoring model: SUE, gap, revenue beat, guidance, and analyst revision velocity
• The 'window of inefficiency': hold periods, entry timing (T+1 open vs. close), and stop placement
• Sector-specific drift profiles: software, semiconductors, retail, biotech, financials — which sectors drift and which mean-revert

Setups

• The 3-sigma gap-up with rising guidance: 60-day base rate and risk-defined entry
• Negative drift shorts: how to size and hedge the dark-pool flow into the next print
• The 'quiet beat' fade: when consensus is wrong but the stock barely moves — the cleanest drift setup
• Q4 fiscal-year-end seasonality and how to filter low-information prints

Risk management

• Position sizing by expected drift magnitude, not arbitrary risk percent
• Earnings-cluster diversification: avoiding correlated drift trades inside a sector
• When to cut early: 4 termination signals (analyst day, M&A, sector rotation, macro shock)

Bonus

• An earnings calendar workflow with pre-print checklist (12 items)
• Backtest of 2018-2025 in liquid US equities with full PnL curve and drawdown stats