analyst forecast dispersion short
What it checks
When analyst EPS estimates spread WAY wider than usual for a stock (top z-score over the trailing year), it's a stronger signal of unresolved disagreement than just the absolute level. Short the stock for 1-3 months.
Mechanism
Focused SHORT-only variant of the DMS 2002 dispersion sort. Uses EPS-estimate dispersion (eps_high - eps_low)/|eps_avg| when available, falls back to price-target dispersion. Distinct from #70 analyst_forecast_dispersion (LONG-SHORT pair on absolute thresholds) and #328 analyst_dispersion_uncertainty (loose min_analysts >= 3): this family applies a 252d-rolling z-score normalization and a stricter min_analysts >= 5 cutoff.
Signal rule
EPS (or price-target) dispersion 252d z >= 1.0 / 1.5 / 2.0 with num_analysts >= 5 (T+1) -> SHORT for 30/60/90 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
analyst_estimatesWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- -2 to -5% over 30-90d
- Paper window
- T+1 to T+90d
-2 to -5% over 30-90d on top-z-dispersion names (DMS 2002 short-leg replica).
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
analyst forecast dispersionSentimentHigh analyst-forecast dispersion → asymmetric overpricing (short-sale constraints keep pessimists out). Short high-dispersion / long low-dispersion → 7-8% annualized.
analyst dispersion uncertaintyInsider & FlowStocks with high dispersion in analyst EPS forecasts earn low future returns. The Miller (1977) optimist-holds mechanism plus short-sale frictions mean dispersion proxies disagreement; the optimist tail prices it up and the marginal trader sees risk. Short the high-dispersion bucket.
analyst revision jumpSentimentSo & Wang (2023) JAR "News-Implied Analyst Revisions and Drift": a large overnight gap on day t that isn't preceded by an analyst revision is mispriced — the revision arrives around T+5 and the price continues to drift through it. Reported: Sharpe 1.5, 30-day drift, robust 2003-2022. v1 approximation flags gaps ≥3% with no earnings event in trailing 5d as "unrevised"; long on upside gaps, short on downside gaps, hold 21-63d.
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