Historical *EPSStdDev

Research
1

I would like to access historic CurQEPSStdDev. What’s a reliable method for getting the most recent historic value for both CurQEPSStdDev and CurFYEPSStdDev?

TIA,
Walter

2

I think that FHist should work:

FHist("CurQEPSStdDev",1)

The comma following the one is the number of weeks in the past that you can get the figure.

This is a bit of a last-ditch solution – FHist reads historical values and isn’t necessarily adjusted in the same way that just about everything else on the site is – but it’s the only one that will work.

You know that’s the standard deviation of the estimates that form the mean, by the way, not estimated future standard deviation, right?

3

Thanks Paul

I don’t know if FHist will map reliably to the data set I want. My intention is to calculate Standardized Unexpected Earnings (SUE). If EPSStdDev(offset, type) existed, I could write;

(EPSActual(0, QTR)-EPSEst(0, QTR))/EPSStdDev(0,QTR) or

(EPSActual(0, ANN)-EPSEst(0, ANN))/EPSStdDev(0,ANN)

I’ll look at FHist and maybe WeeksIntoQ to get the index right.

4

This is probably what you mean (and may have looked at this) and I have not tried this but I would look at this for 4 weeks ago:

Eval(WeeksIntQ > FHist(WeeksIntQ,4),FHist(CurQEPSStdDev,4), FHist(NextQEPSStdDev, 4))

Presumably if WeeksIntQ > FHist(WeeksIntQ,4) is true there has not been an announcement in the last 4 weeks so FHist(CurEPSStdDev,4) should be referencing the current quarter.

If WeeksIntQ > FHist(WeeksIntQ,4) is false, then there has been an interim announcement and FHist(NextQEPSStdDev, 4) references the current quarter: what was the next quarter 4 weeks ago.

Probably what you were referring to in your quote (if it is useful at all). And, of course, will depend on how reliable WeekIntQ is: I have only played with this for announcement and never implemented or checked the reliability.

-Jim

5

Thank Jim, I think WeeksIntQ > FHist(WeeksIntQ,4) will work for detecting the start of a new quarter. It’s actually kinda neat. I don’t think WeeksIntoQ is anything but a counter, but that works here.

Walter

6

Strangely enough, I think this works most of the time;

(EPSActual(0, QTR)-EPSEst(0,QTR))/FHist("CurQEPSStdDev",WeeksIntoQ+12)

At least, under Fundamental charts, the time alignment looks good between;
EPSEst(0,QTR)
FHist(“CurQEPSMean”,WeeksIntoQ+12)

and if the alignment looks good for FHist(“CurQEPSMean”,WeeksIntoQ+12), then I hope it’s good for FHist(“CurQEPSStdDev”,WeeksIntoQ+12)

ANN SUE may be trickier to get right.

Walter