Security analyst performance tracking and analysis system and method

Abstract

A system and method for measuring, analyzing, and tracking the past performance of security analysts' earnings estimates and recommendations. A database containing historical information pertaining to analyst earnings estimates and recommendations is downloaded into the system. Pre-calculated data values are also added to the database including adjustment factors a single or set of analysts based upon their historical earnings estimates as compared to actual earnings estimates over time, and other user-defined performance analysis set parameters and metrics. A weighting factor may also be calculated for a set of analysts based upon factors such as the recency of an analyst's earnings estimates. Using these adjustment and weighting factors and each analyst's actual earnings estimate, a custom composite estimate may be derived. A front-end graphical user interface (GUI) is used to view analyst historical data either as raw data or, by using a data visualization technique, as a graph or chart. The GUI allows a user to choose from a multitude of predetermined analysis parameters and metrics or to define his own parameters and metrics for calculation and visualization. A user may also, in similar manner, use a GUI to choose parameters and metrics to analyze and display the historical profitability of analysts' recommendations over a plurality of time periods. Users may also create and test, either retrospectively or prospectively, custom portfolio transaction models and rules for purchasing and selling securities based upon analysts' estimates and recommendations. The value of such test portfolios may also be tracked.

What is claimed is:  
     
         1 . A computer implemented system for facilitating use of historical data for a plurality of analysts, the system comprising: 
 (i) a database of raw historical data, said data including individual predictions by a plurality of analysts pertaining to at least one security;    (ii) means for creating indices for predetermined relationships among the data;    (iii) means for pre-calculating predetermined analyst-performance metrics from the data; and    (iv) database means for storing the indices and pre-calculations.    
     
     
         2 . The system of  claim 1  wherein the historical data comprises analysts' estimates of future earnings and the indices include an earliness bin index.  
     
     
         3 . The system of  claim 1  wherein the historical data comprises analysts' estimates of future earnings and the pre-calculated performance metrics comprise one or more of a raw error metric, an absolute error metric, a relative error metric, a bias error metric, a leadlag factor and a hit percent.  
     
     
         4 . The system of  claim 1  wherein the historical data comprises analysts' estimates of future earnings and when the estimate was made and the pre-calculated performance metrics comprises one or more of a raw error metric, an absolute error metric, a relative error metric, a bias error metric, a leadlag factor and a hit percent.  
     
     
         5 . A computer implemented system for displaying historical data for a plurality of analysts, the system comprising: 
 (i) a database comprising historical data, said historical data including individual predictions by a plurality of analysts pertaining to at least one security;    (ii) a user interface comprising a plurality of user selectable parameters to permit a user to selectively display portions of the historical data;    (iii) a display for displaying historical data according to the user selected parameters.    
     
     
         6 . The system of  claim 5  wherein the parameters include one or more of a security, an event type, event dates, earliness bins for the predictions, and analysts.  
     
     
         7 . The system of  claim 5  wherein the predictions comprise earnings estimates and the user interface farther enables a user to selectively display one or more of: 
 (i) actual historical earnings for a selected security;  
 (ii) high historical estimates;  
 (iii) low historical estimates; and  
 (iv) consensus historical estimates.  
 
     
     
         8 . The system of claim $ wherein the predictions comprise earnings estimates and wherein the historical data comprises analysts' estimates of future earnings and any revisions to these earnings estimates and when the estimates or revisions were made, and the user can cause the display to selectively display a time series view of a selected analyst's estimates and revisions for a selected security.  
     
     
         9 . The system of  claim 5  wherein the predictions comprise earnings estimates and wherein the historical data comprises analysts' estimates of future earnings and revisions to those earnings estimates and when the estimates or revisions were made, and wherein the user can cause the display to selectively display simultaneously a time series view of a selected group of analysts' estimates and revisions by analyst.  
     
     
         10 . The system of  claim 5  wherein the predictions comprise earnings estimates for securities and wherein the historical data comprises analysts' estimates of future earnings and any revisions to those earnings estimates and when the estimates or revisions were made, and wherein the user interface further enables a user to selectively display simultaneously for a selected security a time series view of a selected group of analysts' estimates and revisions by analyst and one or more of: 
 (i) actual historical earnings for the selected security;  
 (ii) high historical estimates;  
 (iii) low historical estimates; and  
 (iv) consensus historical estimates for that security.  
 
     
     
         11 . The system of  claim 5  wherein the predictions comprise earnings estimates and wherein the historical data comprises analyst's estimates of future earnings and any revisions to those earnings estimates and when the estimates or revisions were made, and the user can cause the display to selectively display simultaneously a time series view of a selected group of analysts' estimates and revisions by analyst for a selected time period prior to the earnings event.  
     
     
         12 . A computer implemented system for measuring historical performance of earnings estimates for a plurality of analysts, the system comprising: 
 (i) a database of historical data, said data including individual earnings estimates by a plurality of analysts pertaining to at least one earnings event for a given security and actual earnings data for that event for that security;    (ii) means for measuring selected analysts' performance based on predetermined error metrics; and    (iii) and means for graphically displaying the results of the measurements.    
     
     
         13 . The system of  claim 12  wherein the historical data comprises one or more of: an analyst identifier, an event identifier, an estimate date, and actual earnings for the event.  
     
     
         14 . The system of  claim 12  where the error metric comprises one or more of a raw error metric; a relative error metric, a bias error metric, and a user-defined error metric.  
     
     
         15 . The system of  claim 12  further comprising: 
 (i) a user interface comprising a plurality of user selectable parameters to permit a user to selectively choose parameters for use in comparing analysts performance; and  
 (ii) a display for comparatively displaying analysts performance based on the user selected parameters.  
 
     
     
         16 . The system of  claim 12  wherein the parameters comprise one or more of a ticker, an event type, one or more event dates, a recency period relative to an event, one or more analysts and an error metric.  
     
     
         17 . The system of  claim 12  wherein the parameter comprises an earliness bin, said earliness bin determining which data will be used in calculating error metric values.  
     
     
         18 . A computer implemented system for creating a composite prediction based on a plurality of analysts' current predictions and historical data concerning analysts' past predictions, the system comprising: 
 (i) a historical database of data concerning a plurality of analysts' past predictions;    (ii) a database of a plurality of analysts' current predictions; and    (iii) means for creating a model with user selected parameters to generate a composite prediction based on the historical data.    
     
     
         19 . The system of  claim 18  wherein the prediction comprises an analyst's earnings estimate for a security.  
     
     
         20 . The system of  claim 19  wherein the means for creating a model comprises means for modifying analysts' current estimate based on the analysts historical accuracy.  
     
     
         21 . The system of  claim 19  wherein: 
 (i) the means for creating a model comprises means for applying a weighting factor; and  
 (ii) a composite earnings estimate is generated based on the current earnings estimates modified by the weighting factor.  
 
     
     
         22 . The system of  claim 19  wherein: 
 (i) the means for creating a model comprises means for enabling a separate adjustment factor to be applied to current earnings estimates for selected analysts and a separate weighting factor to be given to the adjusted current earnings estimate; and  
 (ii) a composite earnings estimate is generated based on the weighting factor of adjusted current earnings estimates.  
 
     
     
         23 . The system of  claim 19  further comprising means for backtesting a model.  
     
     
         24 . The system of  claim 19  further comprising means for applying a model to current estimates.  
     
     
         25 . The system of  claim 19  further comprising means for updating the database with new estimates and re-applying the model to the revised estimates.  
     
     
         26 . The system of  claim 24  further comprising means for screening stocks whose composite estimate varies from consensus estimate by predetermined criteria.  
     
     
         27 . The system of  claim 18  wherein the prediction comprises analysts' buy-sell recommendations for a security.  
     
     
         28 . The system of  claim 27  wherein: 
 (i) the means for creating a model comprises means for applying a weighting factor; and  
 (ii) a composite buy-sell estimate is generated based on the current buy-sell recommendations modified by the weighting factor.  
 
     
     
         29 . The system of  claim 27  wherein: 
 (i) the means for creating a model comprises means for enabling a separate adjustment factor to be applied to current buy-sell recommendation for selected analysts and a separate weighting factor to be given to the adjusted current buy-sell recommendation; and  
 (ii) a composite buy-sell recommendation is generated based on the weighting factor of adjusted current buy-sell recommendation.  
 
     
     
         30 . The system of  claim 29  wherein the adjustment factor is based on a raw error metric; the weighting factor is based on an absolute error metric; and a composite buy-sell recommendation is generated based on the weighting factor weighted average of adjusted current buy-sell recommendation.  
     
     
         31 . A method for assisting in an investment decision, the method comprising the steps of: 
 (i) analyzing historical data pertaining to a plurality of analysts' historical predictions concerning a security;    (ii) identifying trends within the data;    (iii) modifying analysts current predictions based on the identified trends;    (iv) creating a composite prediction based on the modified prediction.    
     
     
         32 . The method of  claim 31  wherein the prediction is an estimated earnings prediction.  
     
     
         33 . The method of claim  3 I wherein the prediction is a buy-sell recommendation.