Quant Briefing: Earnings Surprise Monitor Yardeni Research, Inc. August 12, 2015 Dr. Ed Yardeni 516-972-7683 [email protected] Joe Abbott 732-497-5306 [email protected] Please visit our sites at www.yardeni.com blog.yardeni.com thinking outside the box Table Of Contents Table Of Contents S&P 500 Earnings & Revenue Surprise Summary S&P 500 Sectors’ Earnings Surprise for Current Quarter S&P 500 Sectors’ Revenue Surprise for Current Quarter S&P 500 Historical Earnings Surprise S&P 500 Sectors Quarterly Earnings Surprises S&P 500 Historical Revenue Surprise S&P 500 Sectors Quarterly Revenue Surprises August 12, 2015 / Earnings Surprise Monitor 1 2 3 4 5-6 7 8-9 Yardeni Research, Inc. www.yardeni.com S&P 500 Earnings & Revenue Surprise Summary Table 1A: S&P 500 Earnings Surprise (as of August 12, 2015) % Surprise Q2-2015 Q1-2015 Q4-2014 Q3-2014 Q2-2014 Q1-2014 Q4-2013 Q3-2013 Q2-2013 Q1-2013 Q4-2012 Q3-2012 Q2-2012 Q1-2012 Q4-2011 Q3-2011 Q2-2011 Q1-2011 Q4-2010 Q3-2010 Q2-2010 Q1-2010 Q4-2009 Q3-2009 Q2-2009 Q1-2009 Y/Y % Growth 5.4 6.8 4.4 4.6 2.8 5.2 3.3 2.2 3.0 4.4 5.2 4.4 4.2 4.8 4.8 6.2 6.0 7.8 6.6 6.7 9.9 15.0 6.9 17.1 17.1 5.5 1.5 2.1 6.8 10.0 7.9 4.1 9.4 4.9 4.1 3.9 6.2 0.6 7.0 7.8 9.0 21.9 11.8 19.7 211.1 39.1 27.9 64.0 -/+ -11.4 -26.7 -33.8 % Positive 69.9 67.7 68.9 73.1 66.6 67.8 64.8 66.6 66.0 65.6 68.1 64.4 66.7 66.3 62.7 69.6 70.5 67.1 69.6 72.3 74.5 77.4 72.2 78.8 73.4 64.9 % Negative 21.8 24.3 20.7 18.9 23.4 22.7 23.9 22.9 24.5 25.3 22.4 25.5 24.5 23.5 27.2 20.3 19.4 22.7 21.1 18.5 16.1 15.1 17.7 14.6 19.0 26.7 # Companies 455 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 Table 1B: S&P 500 Revenue Surprise % Surprise Q2-2015 Q1-2015 Q4-2014 Q3-2014 Q2-2014 Q1-2014 Q4-2013 Q3-2013 Q2-2013 Q1-2013 Q4-2012 Q3-2012 Q2-2012 Q1-2012 Q4-2011 Q3-2011 Q2-2011 Q1-2011 Q4-2010 Q3-2010 Q2-2010 Q1-2010 Q4-2009 Q3-2009 Q2-2009 Q1-2009 0.6 0.0 1.6 0.3 1.3 0.0 0.3 1.0 0.9 -0.9 0.4 -1.2 -0.3 1.1 0.2 1.5 2.8 1.1 1.8 0.7 0.0 1.2 1.4 0.2 0.1 -0.1 Y/Y % Growth -4.0 -3.9 1.9 4.2 3.2 2.7 1.1 3.4 2.0 -0.2 1.8 0.6 0.2 5.4 6.7 10.9 11.8 9.5 8.4 8.5 7.2 11.4 4.5 -11.7 -14.1 -10.6 % Positive 48.1 43.2 57.9 59.7 63.8 52.2 61.4 54.0 53.4 45.8 63.9 39.9 40.4 64.9 55.7 60.4 73.4 66.3 64.0 60.6 61.1 67.9 69.5 58.3 49.2 36.5 % Negative 51.9 56.8 42.1 40.3 36.0 47.8 38.4 46.0 46.6 54.0 35.3 59.9 59.6 35.1 44.3 39.6 26.6 33.7 36.0 39.4 38.9 32.1 30.5 41.5 60.6 63.5 # Companies 453 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 500 % surprise = difference between actual and consensus estimate at the time of the earnings report. Source: Thomson Reuters I/B/E/S and Yardeni Research, Inc. Page 1 / August 12, 2015 / Earnings Surprise Monitor Yardeni Research, Inc. www.yardeni.com S&P 500 Sectors’ Earnings Surprise for Current Quarter Table 2A: S&P 500 Aggregate Earnings Surprise Q2-2015 (as of August 12, 2015) Sector Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities S&P 500 % EPS Surprise 8.0 4.9 4.2 6.3 7.3 3.9 3.7 5.2 3.5 4.0 5.4 Expected Actual Y/Y % % with Y/Y EPS EPS Growth Companies Positive EPS Growth (%) (%) Reported Surprise 4.4 -2.6 -57.6 14.7 5.0 -4.1 3.0 2.7 5.5 0.3 -3.7 12.8 2.2 -55.9 22.0 12.7 -0.4 6.9 8.1 9.2 4.3 1.5 74.7 81.1 100.0 98.9 92.9 95.5 86.4 100.0 100.0 100.0 91.0 74.2 73.3 61.0 62.1 94.2 76.2 68.4 60.7 40.0 53.3 69.9 % with Negative EPS Surprise 16.1 16.7 31.7 29.9 0.0 17.5 22.8 21.4 40.0 43.3 21.8 % with % with Negative Positive Y/Y Y/Y EPS EPS Growth Growth 61.3 63.3 19.5 62.1 86.5 68.3 64.9 64.3 40.0 53.3 61.5 35.5 33.3 80.5 36.8 9.6 31.7 31.6 35.7 60.0 43.3 36.5 Source: Thomson Reuters I/B/E/S and Yardeni Research. Table 2B: Slices & Dices Sector/Industries S&P 500 ex-Energy S&P 500 ex-Financials S&P 500 ex-Tech S&P 500 REITs Composite S&P 500 Retail Composite S&P 500 Discretionary Retail S&P 500 Staples Retail S&P 500 Industrials Composite S&P 500 Transportation S&P 500 Industrials ex-GE S&P 500 ex-Apple Information Technology ex-Apple % EPS Surprise 5.5 5.2 5.8 67.6 6.5 8.0 5.5 5.3 2.8 3.2 5.6 4.2 Expected Actual Y/Y % % with Y/Y EPS EPS Growth Companies Positive EPS Growth (%) (%) Reported Surprise 4.4 -7.9 -5.1 -1.1 4.6 7.1 3.0 -8.9 10.1 -0.4 -5.2 -5.6 10.2 -3.1 0.4 65.8 11.4 15.7 8.7 -4.0 13.2 2.8 0.1 -1.7 90.2 89.3 91.7 100.0 47.2 41.4 71.4 88.1 100.0 95.4 91.0 86.2 70.8 71.7 70.1 70.8 64.7 58.3 80.0 73.2 76.9 75.8 69.8 67.9 % with Negative EPS Surprise 20.8 19.8 21.6 25.0 29.4 33.3 20.0 17.5 23.1 17.7 21.8 23.2 % with % with Negative Positive Y/Y Y/Y EPS EPS Growth Growth 65.7 61.4 61.1 62.5 64.7 50.0 100.0 61.5 76.9 69.4 61.5 64.3 32.1 36.4 37.2 37.5 23.5 33.3 0.0 36.3 23.1 30.6 36.6 32.1 Source: Thomson Reuters I/B/E/S and Yardeni Research. Page 2 / August 12, 2015 / Earnings Surprise Monitor Yardeni Research, Inc. www.yardeni.com S&P 500 Sectors’ Revenue Surprise for Current Quarter Table 3A: S&P 500 Aggregate Sales Surprise Q2-2015 (as of August 12, 2015) Sector Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities S&P 500 % Sales Surprise -0.1 -2.3 5.3 1.7 1.4 -0.3 0.4 -1.1 -0.4 -4.6 0.6 Expected Y/Y Sales Growth (%) Actual Y/Y Sales Growth (%) % Companies Reported 1.7 3.5 -35.1 2.3 6.8 -3.5 3.7 -8.9 2.8 -0.2 -4.6 1.6 1.0 -31.7 4.0 8.3 -3.8 4.1 -9.9 2.4 -4.8 -4.0 74.7 81.1 100.0 96.6 92.9 95.5 86.4 100.0 100.0 100.0 90.6 Actual Y/Y Sales Growth (%) % Companies Reported % with Positive Sales Surprise 53.2 33.3 48.8 61.2 69.2 30.2 56.1 28.6 20.0 23.3 48.1 % with Negative Sales Surprise 46.8 66.7 51.2 38.8 30.8 69.8 43.9 71.4 80.0 76.7 51.9 % with % with Positive Y/Y Negative Y/Y Sales Sales Growth Growth 59.7 46.7 2.4 68.2 82.7 42.9 59.6 35.7 80.0 20.0 51.7 40.3 53.3 97.6 31.8 17.3 57.1 40.4 64.3 20.0 80.0 48.3 Source: Thomson Reuters I/B/E/S and Yardeni Research. Table 3B: Slices & Dices Sector S&P 500 ex-Energy S&P 500 ex-Financials S&P 500 ex-Tech S&P 500 REITs Composite S&P 500 Retail Composite S&P 500 Discretionary Retail S&P 500 Staples Retail S&P 500 Industrials Composite S&P 500 Transportation S&P 500 Industrials ex-GE S&P 500 ex-Apple Information Technology ex-Apple % Sales Surprise -0.1 0.4 0.6 1.0 -0.7 1.1 -1.6 0.7 -1.6 -0.7 0.6 0.4 Expected Y/Y Sales Growth (%) 1.7 -5.5 -5.5 4.3 14.0 11.7 15.0 -6.0 -0.1 -1.2 -5.2 -1.9 1.7 -5.2 -4.9 5.3 13.2 13.0 13.2 -5.3 -1.7 -1.8 -4.6 -1.6 89.8 89.3 91.2 100.0 47.2 41.4 71.4 88.1 100.0 95.4 90.6 86.2 % with Positive Sales Surprise 48.1 45.1 47.0 62.5 29.4 41.7 0.0 48.6 7.7 29.0 48.0 55.4 % with Negative Sales Surprise 51.9 54.9 53.0 37.5 70.6 58.3 100.0 51.4 92.3 71.0 52.0 44.6 % with % with Positive Y/Y Negative Y/Y Sales Sales Growth Growth 56.6 47.8 50.5 75.0 100.0 100.0 100.0 50.8 38.5 43.5 51.5 58.9 43.4 52.2 49.5 25.0 0.0 0.0 0.0 49.2 61.5 56.5 48.5 41.1 Source: Thomson Reuters I/B/E/S and Yardeni Research. Page 3 / August 12, 2015 / Earnings Surprise Monitor Yardeni Research, Inc. www.yardeni.com S&P 500 Historical Earnings Surprise 20 15 Figure 1. 20 S&P 500 NET EARNINGS SURPRISE* (percent) 15 10 10 Q2 5 5 0 0 -5 -5 -10 -10 -15 -15 -20 -20 -25 yardeni.com 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 -25 * Percentage of S&P 500 companies that reported earnings are above or below the consensus estimate at the time of the earnings report. Earnings surprise capped at -20% during Q4-2008. Source: Yardeni Research and Thomson Reuters I/B/E/S. 100 Figure 2. 100 S&P 500 POSITIVE & NEGATIVE EARNINGS SURPRISES* (percent of companies) 80 80 Q2 60 60 40 40 20 20 0 0 -20 Q2 -40 -60 -20 -40 yardeni.com 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 -60 * Relative to consensus estimate at the time of the earnings report. Source: Yardeni Research and Thomson Reuters I/B/E/S. Page 4 / August 12, 2015 / Earnings Surprise Monitor Yardeni Research, Inc. www.yardeni.com S&P 500 Sectors Quarterly Earnings Surprises 100 75 50 25 0 -25 -50 -75 -100 10 8 Figure 3. CONSUMER DISCRETIONARY 200 CONSUMER DISCRETIONARY earnings surprise (%) % of companies with positive and negative earnings surprise (percent) Q2 150 100 Q2 0 2008 2009 2010 2011 2012 2013 2014 2015 CONSUMER STAPLES 2008 2009 2010 2011 2012 2013 2014 2015 100 Q2 Q2 4 25 0 0 20 -25 2008 2009 2010 2011 2012 2013 2014 2015 ENERGY 2008 2009 2010 2011 2012 2013 2014 2015 Q2 10 5 -25 2008 2009 2010 2011 2012 2013 2014 2015 FINANCIALS 2008 2009 2010 2011 2012 2013 2014 2015 Q2 50 0 -25 -25 -50 14 12 10 8 6 4 2 0 -2 75 25 Q2 0 -50 100 FINANCIALS 25 -75 50 0 -5 50 75 25 Q2 0 75 -50 100 ENERGY 15 -10 75 50 2 25 -50 125 CONSUMER STAPLES 6 -2 50 -50 2008 2009 2010 2011 2012 2013 2014 2015 HEALTH CARE 2008 2009 2010 2011 2012 2013 2014 2015 -75 125 HEALTH CARE Q2 100 75 Q2 50 25 0 yardeni.com 2008 2009 2010 2011 2012 2013 2014 2015 2008 2009 2010 2011 2012 2013 2014 2015 -25 -50 Source: Yardeni Research and Thomson Reuters I/B/E/S. Page 5 / August 12, 2015 / Earnings Surprise Monitor Yardeni Research, Inc. www.yardeni.com S&P 500 Sectors Quarterly Earnings Surprises 25 20 Figure 4. INDUSTRIALS INDUSTRIALS earnings surprise (%) % of companies with positive and negative earnings surprise (percent) 15 Q2 10 5 Q2 0 -5 25 20 2008 2009 2010 2011 2012 2013 2014 2015 INFORMATION TECHNOLOGY 2008 2009 2010 2011 2012 2013 2014 2015 125 INFORMATION TECHNOLOGY 100 Q2 15 10 Q2 60 -25 2008 2009 2010 2011 2012 2013 2014 2015 MATERIALS 2008 2009 2010 2011 2012 2013 2014 2015 100 Q2 -25 2008 2009 2010 2011 2012 2013 2014 2015 TELECOMMUNICATION SERVICES 2008 2009 2010 2011 2012 2013 2014 2015 100 Q2 Q2 0 -50 -20 2008 2009 2010 2011 2012 2013 2014 2015 UTILITIES 2008 2009 2010 2011 2012 2013 2014 2015 Q2 5 -100 100 UTILITIES 10 50 0 Q2 0 -5 50 0 -10 15 -50 150 TELECOMMUNICATION SERVICES 10 -30 50 0 Q2 0 20 75 25 20 30 -50 125 MATERIALS 40 -20 50 0 0 80 75 25 5 -5 175 150 125 100 75 50 25 0 -25 -50 -50 yardeni.com 2008 2009 2010 2011 2012 2013 2014 2015 2008 2009 2010 2011 2012 2013 2014 2015 -100 Source: Yardeni Research and Thomson Reuters I/B/E/S. Page 6 / August 12, 2015 / Earnings Surprise Monitor Yardeni Research, Inc. www.yardeni.com S&P 500 Historical Revenue Surprise 3.5 3.0 Figure 5. 3.5 S&P 500 NET REVENUE SURPRISE* (percent) 3.0 2.5 2.5 2.0 2.0 1.5 1.5 1.0 1.0 Q2 .5 .5 .0 .0 -.5 -.5 -1.0 -1.0 -1.5 -1.5 -2.0 yardeni.com 2009 2010 2011 2012 2013 2014 2015 2016 -2.0 * Percentage of S&P 500 companies that reported revenues are above or below the consensus estimate at the time of the earnings report. Source: Yardeni Research and Thomson Reuters I/B/E/S. 100 80 Figure 6. 100 S&P 500 POSITIVE & NEGATIVE REVENUE SURPRISES* (percent of companies) 80 60 60 Q2 40 40 20 20 0 0 -20 -20 -40 -40 Q2 -60 -80 -60 yardeni.com 2009 2010 2011 2012 2013 2014 2015 2016 -80 * Relative to consensus estimate at the time of the revenue report. Source: Yardeni Research and Thomson Reuters I/B/E/S. Page 7 / August 12, 2015 / Earnings Surprise Monitor Yardeni Research, Inc. www.yardeni.com S&P 500 Sectors Quarterly Revenue Surprises 6 4 Figure 7. CONSUMER DISCRETIONARY 200 CONSUMER DISCRETIONARY revenue surprise (%) 150 % of companies with positive and negative revenue surprise (percent) 2 100 Q2 0 Q2 0 -2 -4 3 2 -50 2009 2010 2011 2012 2013 2014 2015 CONSUMER STAPLES 2009 2010 2011 2012 2013 2014 2015 CONSUMER STAPLES Q2 1 0 -1 -2 -3 12 9 Q2 2009 2010 2011 2012 2013 2014 2015 ENERGY 2009 2010 2011 2012 2013 2014 2015 Q2 Q2 -50 2009 2010 2011 2012 2013 2014 2015 FINANCIALS 2009 2010 2011 2012 2013 2014 2015 Q2 -25 -50 2009 2010 2011 2012 2013 2014 2015 HEALTH CARE 2009 2010 2011 2012 2013 2014 2015 Q2 Q2 1 -75 100 HEALTH CARE 2 50 0 0 -50 -1 -2 50 0 -4 3 75 25 Q2 0 -75 100 FINANCIALS 4 4 50 -25 -3 -8 75 0 0 8 100 75 50 25 0 -25 -50 -75 -100 25 3 12 -100 100 ENERGY 6 -6 50 yardeni.com 2009 2010 2011 2012 2013 2014 2015 2009 2010 2011 2012 2013 2014 2015 -100 Source: Yardeni Research and Thomson Reuters I/B/E/S. Page 8 / August 12, 2015 / Earnings Surprise Monitor Yardeni Research, Inc. www.yardeni.com S&P 500 Sectors Quarterly Revenue Surprises 6 4 Figure 8. INDUSTRIALS 200 INDUSTRIALS revenue surprise (%) 150 % of companies with positive and negative revenue surprise (percent) 2 0 100 Q2 Q2 -2 -4 6 2009 2010 2011 2012 2013 2014 2015 INFORMATION TECHNOLOGY 2009 2010 2011 2012 2013 2014 2015 INFORMATION TECHNOLOGY Q2 2 Q2 0 9 6 2009 2010 2011 2012 2013 2014 2015 MATERIALS 2009 2010 2011 2012 2013 2014 2015 0 Q2 -50 -9 1.0 2009 2010 2011 2012 2013 2014 2015 TELECOMMUNICATION SERVICES 2009 2010 2011 2012 2013 2014 2015 100 50 Q2 .0 Q2 -.5 20 15 2009 2010 2011 2012 2013 2014 2015 UTILITIES 2009 2010 2011 2012 2013 2014 2015 100 Q2 5 0 -10 yardeni.com 2010 2011 2012 2013 2014 2015 50 0 -50 Q2 2009 -100 150 UTILITIES -5 0 -50 10 -15 -100 150 TELECOMMUNICATION SERVICES .5 -1.0 50 0 -6 1.5 125 100 75 50 25 0 -25 -50 -75 100 Q2 -3 -100 150 MATERIALS 3 -12 0 -50 4 -2 50 2009 2010 2011 2012 2013 2014 2015 -100 -150 Source: Yardeni Research and Thomson Reuters I/B/E/S. 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