PRF010Factor HubProfitability FactorsHigh
Earnings Surprise Factor
Surprise versus consensus: positive shocks drift upward for weeks (the PEAD anomaly).
Formula
EarnSurp = (EPS_actual - EPS_consensus) / |EPS_consensus|Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
8.88%
Sharpe ratio
0.55
Max drawdown
-29.73%
Total return
134.15%
Cumulative performance（2016-09 … 2026-08）
2016 -6.4%2017 -9.4%2018 -6.9%2019 +10.5%2020 +60.4%2021 +8.1%2022 +35.5%2023 -6.0%2024 +4.0%2025 +8.0%2026 +8.3%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | SCHW | Charles Schwab | 0.132 |
| 2 | BMY | Bristol-Myers Squibb | 0.130 |
| 3 | UDR | UDR | 0.126 |
| 4 | MU | Micron Technology | 0.121 |
| 5 | NVO | Novo Nordisk | 0.120 |
| 6 | AAPL | Apple | 0.114 |
| 7 | GLW | Corning | 0.108 |
| 8 | COST | Costco | 0.108 |
| 9 | CSCO | Cisco Systems | 0.104 |
| 10 | DASH | DoorDash | 0.098 |
| 11 | STT | State Street | 0.097 |
| 12 | VALE | Vale | 0.093 |
| 13 | BAC | Bank of America | 0.092 |
| 14 | PRU | Prudential Financial | 0.092 |
| 15 | PSX | Phillips 66 | 0.092 |
| 16 | DLR | Digital Realty | 0.090 |
| 17 | FCX | Freeport-McMoRan | 0.090 |
| 18 | REGN | Regeneron | 0.087 |
| 19 | MOS | Mosaic | 0.086 |
| 20 | NEE | NextEra Energy | 0.086 |
| 21 | RIO | Rio Tinto | 0.081 |
| 22 | MET | MetLife | 0.077 |
| 23 | ECL | Ecolab | 0.076 |
| 24 | KMB | Kimberly-Clark | 0.075 |
| 25 | T | AT&T | 0.074 |
| 26 | PM | Philip Morris | 0.071 |
| 27 | FANG | Diamondback Energy | 0.070 |
| 28 | TTD | The Trade Desk | 0.069 |
| 29 | LII | Lennox International | 0.067 |
| 30 | RCL | Royal Caribbean | 0.067 |
Holdings computed by the exact formula above at the latest month-end observation on the deterministic research panel (2026-08).
Data export
Exports include formulas, performance statistics, the 120-month series and current holdings — everything needed to replicate results locally.