Standardized Unexpected Earnings (SUE)

Research
1

Hi,

I see EPSActual(offset , period) and EPSEst(offset , period) available, but is there also something like EPSStdDev(offset, period)? I’m interested in looking at Standardized Unexpected Earnings (SUE).

2

We have EPSStableQ, but that analyzes GAAP EPS, not actuals. You can read about it here: https://www.portfolio123.com/doc/doc_detail.jsp?factor=EPSStableQ&popUpFullDesc=1. If that’s not what you’re looking for you, you could try LoopStdDev(“EPSActual(Ctr,Qtr)”,X) where X is the number of quarters you want to measure.

Oh, sorry, you’re looking for the standard deviation of the analyst estimates for a single quarter or annual period. We don’t have that. You might be able to approximate it by using ConsEstHi, ConsEstLow, ConsEstMedian, ConsEstMean, and/or ConsEstCnt, but that would take some work.

For example, the range rule approximates the standard deviation as 1/4 of the high minus the low. So the standard deviation of EPS estimates might be approximated as 0.25*(ConEstHi(#EPSQ)-ConsEstLow(#EPSQ)).

3

Thanks Yuval,

Since p123 has CurQEPSStdDev and CurFYEPSStdDev, I was hoping that historical values for those items could be retrieved (in a manner that guarantees that they align with the historical estimates). I’ll look at the Cons* functions, but it seems that aligning w/ the actuals will be error prone.

4

We should be able to add it relatively easily since we do have the StdDev of the estimates for a period. But we currently only expose it for upcoming Current/Next Y/Q. For example CurFYEPSStdDev

We just need to add functions to expose StdDev for past periods like you suggest (we might also built ready-made factors for SUE)

Does it make sense for Sales as well? Like Standardized Unexpected Sales (SAS) ?

Thanks

NOTE: the naming we chose for past periods is very confusing for EPSEst & SalesEst. Should have been something like EPSHistEst & SalesHistEst. We’ll see about maybe updating them.

5

I would like to see a built-in SUE. That would expose the idea to more users. And I do think a Standardized Unexpected Sales function would be a nice counterpart to SUE.

As for naming, that is always hard.

6

Mr. WalterW, sir!

I find it interesting that you are interested in Standardized Unexpected Earnings (SUE). I first learned of SUE just a few months ago while reading the book Quantitative Momentum. In appendix A, they mentioned the SUE method as initially proposed by Robert Novy-Marx, as well as Cumulative Three-day Abnormal Returns (CAR3) and compared those two methods to their method of momentum. Where did you learn about SUE?

Cary

7

Hi Cary,

It could have been from Quantitative Momentum. I have that book - among many, many others. SUE has been on my to-do list for awhile.

Walter

8

SUE (yearly, quarterly, etc) is coming very soon. Maybe end of the week.

NOTE: Also adding a new one “SUS” for Standardized Unexpected Sales, which may not mean much, but was easy to do.

Doing other SU’s like FCF or EBITDA would require a bit more work.

9

Thanks Marco! Much appreciated.