Analyst consensus estimate of return on equity
factor.formula
Weighting methods usually include but are not limited to the following, and different institutions may adopt different weighting strategies:
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The ROE values predicted by each institution are directly averaged. This method is simple and direct, but it may ignore the differences in the prediction capabilities of different institutions.
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Different weights are given based on the time when the forecast report was released and the professionalism of the institution. For example, newer forecast reports may have higher weights, and forecast reports from more professional institutions may also have higher weights.
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Different weights are given to each institution based on the accuracy of its historical forecasts. Institutions with high historical forecast accuracy will have higher weights for their current forecast reports. This approach places greater emphasis on the quality and credibility of forecasts.
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This includes but is not limited to weighting based on factors such as the coverage and impact of the research report. The specific weighting method depends on the internal algorithm of the data provider.
factor.explanation
Analyst consensus ROE reflects the market's general expectations of a company's future profitability. This factor aims to eliminate the bias of individual analysts' forecasts by aggregating the forecasts of a company's future ROE from multiple research institutions and using different weighting methods, thereby more accurately capturing the market's consensus on a company's profitability. A higher analyst consensus ROE usually means that the market has higher expectations for a company's future profitability, and vice versa. This factor can be used in quantitative investment strategies, such as identifying companies with earnings growth potential in multi-factor models.