Factors Directory

Quantitative Trading Factors

Analyst Consensus Earnings Yield

Value FactorFundamental factors

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factor.explanation

Analyst consensus net profit is calculated by integrating the earnings forecast reports of multiple sell-side institutions (such as securities firms) and using a certain weighting method. Different data providers use different weighting methods, the most common of which are:

  • Arithmetic mean: Directly average the forecast values ​​of all analysts, which is simple and easy to understand, but may ignore the professionalism and forecast history of analysts.

  • Time and institution double weighting: Give higher weights to recently released forecast reports and/or institutions with higher historical forecast accuracy, and pay more attention to timeliness and analyst professionalism.

  • Weighted by forecast accuracy: Give corresponding weights according to the accuracy of analysts' historical forecasts, and pay more attention to analysts' forecasting ability.

This factor reflects the market's consensus expectations of the company's future profitability. Combined with the current stock price, it can be judged whether the company is likely to be undervalued or overvalued. The higher its value, the stronger the market expects the company's profitability, and the more attractive the stock price.

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