TrueBeats

TrueBeats predicts EPS & Revenue surprises for over 35,000 global equities since 2000, outperforming simpler models by incorporating other significant sources of information about a company’s likelihood to beat or miss consensus forecasts, including: individual analyst data; metrics of earnings management; and time-series trends. The result is a surprise forecast which reduces errors and is consistently more accurate than simpler methods – it predicts the direction of surprises up to 80% of the time, and is especially accurate for larger, higher-coverage stocks.

TrueBeats can be an early indicator not just of earnings and revenue surprises but also returns. Stocks with the largest positive current-quarter EPS TrueBeats have outperformed those with the largest negative TrueBeats by 15% per annum, and a simple dollar-neutral portfolio on liquid U.S. equities generated a historical Sharpe ratio of 1.6 with modest turnover.

Table includes the following fields:
- Date (date on which a user could trade on the data)
- TrueBeat_ITEM (TrueBeat value as float data type, which indicates the expected surprise relative to the consensus)
- Fiscal_Period (annual or quarterly fiscal period, for example “2020” for fiscal year 2020 and “2020 Q1” for the first fiscal quarter in 2020)
- Number_Of_analysts (number of analyst estimates underlying the TrueBeat computation)
- Ticker (most recent ticker for the security when historical data was cut)
- Ticker_PointInTime (point in time ticker on Date)
- CUSIP (most recent CUSIP for the security when historical data was cut)
- CUSIP_PointInTime (point in time CUSIP on Date)
- ISIN (most recent ISIN for the security when historical data was cut)
- ISIN_PointInTime (point in time ISIN on Date)

搜集汇总

背景与挑战

背景概述

TrueBeats是一个全球股票EPS和营收意外预测数据集，自2000年起覆盖35,000余只股票，其创新模型整合多维度信息使预测准确率高达80%。数据集包含预测数值、财务周期、证券标识等结构化字段，并验证了其预测结果与股票超额收益间的显著相关性。