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Hi!
I have questions about two timeseries available in QuantConnect, namely:
fine.ValuationRatios.FirstYearEstimatedEPSGrowth
and
fine.ValuationRatios.SecondYearEstimatedEPSGrowth
Do those data represents %growth in EPS estimates? According to documentation, we would need to substract 1 to get the actual %growth rate as for instance :
fine.ValuationRatios.SecondYearEstimatedEPSGrowth =(EPS Growth Ratio: (Estimated EPS Year 2) / (Estimated EPS Year 1)
I have difficulties to find any match between those data and data available in other financial data providers (e.g. Bloomberg or Reuters). I know there would be no exact match (Morningstar may have different EPS estimates), but also trend on the largest stocks does not match at all.
It would be great if someone could present a raw data and the calculation for AAPL or any other large cap stock (I mean to present Estimated EPS Year 2 and Estimated EPS Year 1 and fine.ValuationRatios.SecondYearEstimatedEPSGrowth value.
Thank you in advane for all help!
Yuxin Guan
Hello Janusz,
We have access to FirstYearEstimatedEPSGrowth and SecondYearEstimatedEPSGrowth from Morningstar®, but we don’t know the parameters used to calculate them, like “Estimated EPS Year 1” and “Estimated EPS Year 2”.
According to the equation Morningstar® uses to calculate SecondYearEstimatedEPSGrowth, EPS Growth Ratio: (Estimated EPS Year 2) / (Estimated EPS Year 1), yes the “growth ratio” should be “(Estimated EPS Year 2) / (Estimated EPS Year 1) – 1”.
You may consult Morningstar® if you have any question about the calculation of their data.
Thank you!
Best,
Yuxin Guan
Greg Kendall
Here is a fun fact. If you take the ForwardPERatio and divide by the PEGRatio you should get the Long-term Average Earning Growth Rate according to the way morningstar does things.
ForwardPERatio = self.GetFundamental(symbols, "ValuationRatios.ForwardPERatio", start_time, end_time)
PEGRatio = self.GetFundamental(symbols, "ValuationRatios.PEGRatio", start_time, end_time)
LTEarningsGrowth = ForwardPERatio / PEGRatio
ref:
Greg Kendall
Just a second note: The note above this relates to the original question. Basically, trying to figure out what Morning Star is actually providing and how they derive their data and for what periods (seems poorly documented by Morning star). I'm not sure what morning star means by Long-term in this case. Is it five years or ten or? I guess we could contact morning star for more info. I don't know how difficult contacting morning star is. Has anyone tried? Do they have better documentation online somewhere?
Greg Kendall
I found this from morning star the appears to describe one data time of their forward eps data:
Earnings Growth Forward Estimate 1 YearAn average of the estimated short-term earnings growth for the companies in the portfolio. We first obtain Wall Street’s consensus earnings estimates for each stock’s next-reported fiscal year. Comparing that earnings estimate with the most recently reported actual earnings yields a one-year estimated growth rate. Morningstar computes this rate for each stock and then computes the weighted average for the whole portfolio of stocks.
Benefits
Allows users to gauge the growth potential of a portfolio’s underlying companies. This enables users to view the portfolio’s valuation (such as P/E ratio, P/B ratio, and P/Cash Flow) within context. This forward earnings-growth can also be compared with the trailing Three-year Earnings-Growth rate to determine if there is any change.
Origin
The Wall Street consensus earnings estimates are obtained from Zacks Investment Research, Inc. The computation of the growth rate and the portfolio averages are done by Morningstar. One-year forward earnings growth estimates are recalculated every month based on month-end equity share prices.
For the Pros
The actual calculation for each stock in the portfolio is:
Rate = [(Next reported annual earnings-per-share consensus estimate/Last reported annual earnings-per-share) x 100] – 100
Janusz Dancewicz
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