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A few weeks ago I subscribed to investars.com to see how useful the site
might be. There's lots of information and I was able to obtain a list of the
majority or perhaps the most influential analyst firms. However, I couldn't
see a feature to download any historical data. Here's why I'm looking for
that data, which I think would be interesting to many traders, but we'll see
:)
As a rule of thumb, soon after sell-side analysts publish their revised
opinions, the volatility of the subject stocks rise. Of course the obvious
question is how profitable is a strategy that virtually spreads the subject
stocks against a selected index or against each other. As I can't find any
quantitative data I'd like to do some back testing, which is why I need
historical data. Zacks can provide the data, but they want $6k for it!
The essence of the strategy is to manage the relative volatility of a basket
of stocks for which opinions recently changed until they are removed (from
the portfolio), which would occur when their (individual) volatility reverts
to it's mean (or norm). A brief sampling indicates that an annualized return
would likely be about 15%, before any leverage. Using options or a mix of
futures and options, I'd expect the return to be 2.5x that or more. A Sharpe
ratio should be very respectable as it's essentially a long-short strategy.
One idea I have for inserting upgrades and downgrades into tables from which
time series data can be extracted is to shred email advises of these
changes--there are several vendors that offer this kind of service. That
doesn't provide any immediate historical data, but it does get the ball
rolling.
Appreciate any comments or questions.
Colin West
-----Original Message-----
From: tonyvare [mailto:tonyvare@xxxxxxxxxxxxx]
Sent: Monday, April 05, 2004 6:27 AM
To: cwest@xxxxxxxxxxxx
Subject: Re: historical source of upgrades/downgrades
try investars.com.
----- Original Message -----
From: "cwest" <cwest@xxxxxxxxxxxx>
To: "Omegalist" <omega-list@xxxxxxxxxx>
Sent: Sunday, April 04, 2004 7:54 PM
Subject: historical source of upgrades/downgrades
> I'm looking for an historical source of upgrades/downgrades and guidance
> revisions (for stocks). Any suggestions?
>
> Thanks in advance
> Colin West
>
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