Expectational Model
What is the service?
A proprietary, quantitative model - the Expectational
Model - distills raw data on sell-side analyst earnings estimates and revisions down to a comprehensive forecast of each stock's expected excess return (alpha) from investor expectations over the next one to three years.
What makes it different?
- Pure measure of earnings expectations
- Estimate data from Thomson Financial
- Gradient Maximization model construction methodology
- Designed for institutional holding periods
- Daily ranking updates available
- Adapts to changes in market environment - reoptimized annually
Who should use it?
Portfolio managers and analysts interested in adding an estimate-based alpha forecasting measure to their stock selection system
What do I receive?
Weekly or daily rankings (1 to 10, see the graph below) for 4,000+ US stocks from the Expectational Model that characterize each stock's probable alpha from investor expectations
What do the rankings mean?
How do I get the rankings?
- Electronically via the Internet (E-mail or FTP)
- Download from Columbine web site
- FactSet data system
- Hard copy reports via overnight express
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Click to download a sample of the current model report (PDF format) |
How has it performed?
What are the inputs?
Stock rankings from the Expectational Model are a synthesis of five individual components:
Factor Definitions
How can it help me?
- Source of Buy ideas
- Objective backstop to your own analysis
- Establish a Sell discipline
- Foundation for creating your own model
- Replace "home-made" estimate-based models
- Input into proprietary multifactor model
Click here for more information on the Expectational Model
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