S-Score's Performance on Recent Earnings
September 14, 2021
In this analysis we are testing whether SMA’s S-Factor data is accurate predicting price movements in equities during earnings season. The dataset we look at includes all US Equities in SMA’s universe, covering over 4,500 equites, that released earnings between 1/13/2020 and 8/16/2021. We first looked at Open-to-Close returns after earnings have been released. […]
