Earnings Report Market Trading

Rules-based US equity timing, rebalanced monthly This wikifolio follows one rule. The rule comes from published research on the earnings calendar. Most US companies report in January, April, July and October, so those four months carry the quarter's fresh earnings news. Hongye Guo (Review of Financial Studies, 2025) shows that the market's return during recent reporting months predicts the following month. Moreover, the sign of that relationship reverses depending on whether the coming month is itself a reporting month. The interpretation is that investors carry the mood of the last earnings season forward, and that reporting months are when prices correct. I replicated and stress-tested this result in my master's thesis at the University of Mannheim. At each month-end I compute one number from publicly available monthly US market returns. That number sets the target market exposure for the coming month. An exposure of 1.0 behaves like the index. Above 1.0 the position is geared. Below 1.0 part of the book sits in a money market fund. On rare occasions the exposure turns negative.