Real-World & Alternative DataExtended setlive in productionNew

Analyst Forecast Dispersion

Updated dailyData needs: lowlong onlyshort onlylong short

2002

Diether, Malloy & Scherbina 2002, Journal of Finance

In plain terms

When analysts disagree widely on a stock's earnings, it's overpriced (pessimists can't short-sell in size). Short high-dispersion, long low-dispersion.

How it works

High analyst-forecast dispersion → asymmetric overpricing (short-sale constraints keep pessimists out). Short high-dispersion / long low-dispersion → 7-8% annualized.

Live results

0 times picked on its own · 79 times inside a blend (71 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 79 such blended picks (71 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Fmp analyst estimates
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: ~7-9% ann. L/S (Diether-Malloy-Scherbina 2002)
Tested over: 1976-2000

~7% ann. historically; mechanism robust to short-sale constraint regimes

Example tickers where this is likely to fire

TSLA MSTR PLTR

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Analyst Revision JumpReal-World & Alternative Data

A big overnight gap NOT preceded by an analyst revision is mispriced — the revision arrives ~5 days later and the price drifts further in that direction.

Low-Volatility PremiumEconomy & Policy

Counterintuitive: high-idiosyncratic-vol stocks UNDERPERFORM. So short the high-IVOL names, long the steady ones.

Explore Analyst Forecast Dispersion on alphactor.ai

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