Analyst Forecast Dispersion Short
In plain terms
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.
How it works
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.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Analyst estimates
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- -2 to -5% over 30-90d
- Tested over
- 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
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.
When analysts strongly disagree about a company's earnings (wide high-low range vs the consensus), the stock tends to underperform.
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.
Explore Analyst Forecast Dispersion Short on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.