What is PEAD?

PEAD stands for post-earnings announcement drift: the tendency for prices to keep drifting in the direction of an earnings surprise after the announcement, rather than fully adjusting on day one.

The idea

Markets are fast, but not always complete. Large positive (or negative) surprises can take days or weeks to be absorbed as analysts revise, funds rebalance, and attention catches up. Academic and practitioner work has studied this pattern for decades, with the usual caveat that edges decay and costs matter.

How a PEAD sleeve might trade

A systematic PEAD book typically:

1. Measures surprise (actual vs expected) against a threshold.
2. Waits a short skip window so it is not fighting the instant reaction.
3. Holds for a defined horizon, often long-only.
4. Optionally weights by surprise magnitude.

Quant Eidolon’s paper PEAD sleeve (v2) uses a high surprise threshold, a multi-week hold, skip-one-day entry, long-only, and magnitude weighting. See Strategies for the plain-English sleeve card and Live Paper for current allocation.

What it is not

• Not a guarantee that every earnings event “works.”
• Not the same as day-trading the print.
• Not live capital on this site. The public book is paper.

Bottom line

PEAD is a named, researched inefficiency around earnings news. Implementation details (threshold, hold, costs) decide whether a sleeve earns its keep. Paper results still are not live AUM.