PEAD_V2 — live sleeve
Buys stocks after the largest positive earnings surprises and holds them about three months, but only while market volatility is below its one-year median. Sits in cash when volatility spikes.
Backtest +42.0% cum (2023+ OOS) · 1.01 · −11.5%·Live −12.55% · -0.46 · −4.44%·Read paper →·Dashboard →
Buys stocks after the largest positive earnings surprises and holds them about three months, but only while market volatility is below its one-year median. Sits in cash when volatility spikes.
Liquid US stocks with recent earnings surprises.
Enter on a surprise, exit after about 60 trading days or when the gate trips.
Backtest is gross of costs; live fills are paper.
Backtest Sharpe 1.01, max drawdown −11.5%. A diversifier, not a replacement for a core book.
| Sleeve | Sep 26 | Oct 26* | Total | Positive |
|---|---|---|---|---|
| PEAD-v2 VIX-gated | -3.0 | +1.0 | -2.0% | 50% |
* Current month is partial.
Today, month-to-date, last month, year-to-date and year-over-year returns by sleeve, with day-by-day history.
| Sleeve | Today | Prev day | MTD | Last mo | YTD | YoY |
|---|---|---|---|---|---|---|
| PEAD-v2 VIX-gated | −3.81% | +1.87% | +1.01% | −3.02% | — | — |
| S&P 500 | −1.79% | −0.36% | −0.87% | −0.59% | — | — |
Today is live vs the prior close; weekends show — until the next session. MTD/YTD anchor on the prior month/year-end close; YoY needs ~1y of history. The vs S&P 500 view subtracts the benchmark's same-period return.
| Equity | vs S&P 500 | ||
|---|---|---|---|
| 2026-10-30live | $9,796.42 | −3.81% | −2.02pp |
| 2026-10-29 | $10,184.25 | +1.87% | +2.23pp |
| 2026-10-28 | $9,997.45 | −0.54% | −0.88pp |
| 2026-10-27 | $10,051.72 | −0.18% | −0.77pp |
| 2026-10-26 | $10,070.04 | +1.14% | +0.43pp |
| 2026-10-23 | $9,956.32 | −2.88% | −2.33pp |
| 2026-10-22 | $10,251.69 | +1.77% | +2.94pp |
| 2026-10-21 | $10,073.84 | +0.12% | −0.41pp |
| 2026-10-20 | $10,062.12 | +2.66% | +2.33pp |
| 2026-10-19 | $9,801.63 | −0.04% | −0.47pp |
| Symbol | Qty | Value | % | P&L | P&L % |
|---|---|---|---|---|---|
| EL | 6.887 | $752.26 | 7.7% | +$101.23 | +15.6% |
| ROST | 3.036 | $693.10 | 7.1% | +$1.39 | +0.2% |
| TGT | 4.392 | $678.02 | 6.9% | −$4.81 | −0.7% |
| CB | 1.751 | $637.54 | 6.5% | +$13.43 | +2.1% |
| SYF | 8.171 | $615.68 | 6.3% | −$3.23 | −0.5% |
| DLTR | 4.418 | $591.45 | 6.0% | +$77.54 | +15.1% |
| DG | 4.295 | $568.29 | 5.8% | +$39.81 | +7.5% |
| KEYS | 1.781 | $547.22 | 5.6% | −$124.21 | −18.5% |
| SMCI | 16.128 | $531.42 | 5.4% | −$144.51 | −21.4% |
| FOXA | 8.047 | $508.92 | 5.2% | −$8.48 | −1.6% |
| FOX | 8.992 | $505.33 | 5.2% | −$16.86 | −3.2% |
| P | 3.953 | $502.00 | 5.1% | −$56.09 | −10.1% |
| WSM | 1.949 | $492.60 | 5.0% | +$23.61 | +5.0% |
| SJM | 3.755 | $487.81 | 5.0% | +$42.00 | +9.4% |
| CRM | 2.001 | $458.48 | 4.7% | −$0.11 | −0.0% |
| Shown (98) | — | $28,411.36 | 290.0% | −$296.52 | −1.0% |
| Cash | — | -$18,614.91 | -190.0% | — | — |
% of equity · P&L unrealized · positions + cash = 100%
Leveraged: positions are 290.0% of equity (cash -190.0%) — margin, not a display error.
98 positions · top 5 = 12% · effective N = 81.3
Gross market value, so both legs of a hedge count. Cash is excluded; P&L in the drill-down is unrealized.
| Time (ET) | Symbol | Side | Qty | Fill | Value | P&L % | P&L $ |
|---|---|---|---|---|---|---|---|
| Oct 30, 9:34 AM | LULU | sell | 3.4227 | $110.31 | $377.57 | +17.90% | +$57.31 |
| Oct 30, 9:33 AM | NI | buy | 5.9646 | $44.84 | $267.48 | — | — |
| Oct 30, 9:33 AM | NEM | buy | 2.3882 | $107.23 | $256.08 | — | — |
| Oct 30, 9:33 AM | MKC | sell | 7.6716 | $47.67 | $365.71 | +2.03% | +$7.29 |
| Oct 30, 9:33 AM | HAS | sell | 3.0386 | $119.87 | $364.24 | +4.97% | +$17.24 |
| Oct 30, 9:32 AM | ACGL | buy | 2.5678 | $106.74 | $274.09 | — | — |
| Oct 30, 9:32 AM | MAS | buy | 3.3289 | $81.34 | $270.78 | — | — |
| Oct 30, 9:32 AM | CINF | buy | 1.4679 | $184.99 | $271.55 | — | — |
| Oct 30, 9:32 AM | VTR | buy | 1.0993 | $85.29 | $93.76 | — | — |
| Oct 30, 9:32 AM | CNC | buy | 1.0536 | $68.80 | $72.49 | — | — |
| Oct 30, 9:32 AM | BXP | buy | 4.235 | $63.76 | $270.02 | — | — |
| Oct 30, 9:31 AM | RTX | sell | 1.8033 | $202.58 | $365.31 | +5.12% | +$17.81 |
| Oct 30, 9:31 AM | DECK | buy | 3.2255 | $83.37 | $268.91 | — | — |
| Oct 30, 9:31 AM | LUV | buy | 1.4013 | $43.19 | $60.52 | — | — |
| Oct 30, 9:31 AM | OKE | buy | 2.7871 | $96.74 | $269.62 | — | — |
Live stats are annualized from daily equity; short windows are noisy. Backtest numbers are from the paper’s full window.