Earnings Roadmap – Gimme Shelter!: Asia EM Equity Strategy | Asia Pacific

Research evidence excerpt

Earnings Roadmap – Gimme Shelter!: Asia EM Equity Strategy | Asia Pacific

IdeaM

Structured Surprise Screens

Leveraging Morgan Stanley's Preview to Earnings Structured

Research to Generate Alpha Signals

Over the past year, Morgan Stanley's global research department has embraced a

structured format to research around earnings events. Here we leverage the

incoming Preview to Earnings data set, which identifies the analysts' 1) focus KPI

for the company, 2) forecast for the KPI in the results, and 3) expectation for how

the upcoming results will affect consensus EPS forecasts for the next 12 months.

For more details, see Asia Quantitative Strategy: Asian Research Alpha Tools -

Signal Through the Noise (4 Mar 2025).

According to our Quantitative Investment Strategies team's back-test, a long-only

strategy trading on our Preview-to-Earnings structured data shows a 20% CAGR

and a 1.35 Sharpe ratio with a 72% hit rate. Stocks flagged by our analysts as likely

to see an upside surprise in KPIs or N12M consensus EPS have outperformed, with

a statistically significant t-stat.

Exhibit 2: AlphaSignals Earnings Exhibit 3: AlphaSignals Earnings

Strategies back-test cumulative Strategies back-test cumulative

long-only post-cost performance long-only post-cost performance

key statistics

Source: FactSet, Datastream, Morgan Stanley Research.

Performance is measured since each strategy’s launch:

25 Oct. 2023 for Earnings Reaction, and 3 Oct. 2024 for

Earnings Preview and AlphaSignals Earnings Cycle. Past

performance is no guarantee of future returns.

Past performance is no guarantee of future returns.

See Quantitative Equity Research: AlphaSignals: Analyst Insight, Measurable Alpha

(20 Jul 2026) for more details.

Screen 1: Favoured Stocks with Positive Surprise Expected