Analyst consensus expected return
factor.formula
Analyst consensus expected return formula:
in:
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The stock target price released by the i-th institutional analyst represents the institution's expectation of the future stock price.
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The number of institutions that have published analyst target prices reflects the breadth of market expectations for the stock.
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The stock closing price at the time of factor calculation is usually taken as the closing price at the end of the month, which is used as the benchmark price for calculating the rate of return.
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Analysts' consensus expected return reflects the market's average expectation of future stock returns.
factor.explanation
This factor is calculated by averaging the target prices of analysts from various institutions and dividing it by the current stock price to obtain a consensus expected rate of return. The higher the value, the stronger the market's expectation of future increases for the stock. This factor is a reflection of market sentiment and is also an expected indicator based on fundamental analysis. In quantitative stock selection strategies, this factor can be used as an important indicator to measure the market's optimism about a stock. The construction of this factor assumes that the expectations of all analysts have equal weight. In practical applications, different weights can be considered for the expectations of analysts from different institutions.