Institutional Dataset: Crowdsourced Forward Expectations

Today’s article is a particularly interesting dataset for those of you working in the equities space. We have a dataset that represents a live market for forward expectations, where its core product is actually a point-in-time (PIT) history of crowdsourced quarterly EPS and revenue estimates from an institutional, sophisticated crowd!

For many, you may not even know this exists, but it’s a pretty stable source of alpha for those in systematic equities. It lets you watch forward expectation formation in real time! It allows you to inspect in real-time, who submitted the estimate, when they revise it, how far they are from the current average / sell-side.

There is a lot of alpha in this dataset because ordinary sell-side consensus on forward expectations can be a narrow benchmark updated under institutional (and some cases, political) friction. There problems of herding, access and aversion to career and reputational and political risks.

This dataset overcomes all of that because contributors are not (just) sell-side analysts, and therefore represent an aggregation of a broader view of the market. The dataset in question today is…