Backtest CFTC Data
The datasets from which these PYPL forecasts are drawn originate from FactSet. They represent the aggregated estimates made available to academics or practitioners via the Institutional Brokers’ Estimate System (IBES). Although this seems like a fair way of predicting future profits given that they have some level expertise in investment banking, studies show there's still an optimism bias present among these professionals.
Regression-based models suffer from the use of past earnings in a linear or exponential framework. This can lead to bias because these models assume that future performance will mirror historical trends exactly, whereas business cycle dynamics and seasonality may introduce randomness over time periods.
While there is a clear consensus that a factor-based approach to investment is rewarded over time, it goes without saying that the implementation of factor investing strategies, especially in the world of long-only money-management, is rarely subject to the same consensus. Index providers who offer funds that generally contain a small number of stocks in relation to the size and risk level they are designed for, often do so by selecting certain conditions or factors within each company.
For example, some commercial indexes aim at proportionality between price movements and dividends paid out over time while others look exclusively on liquidity considerations alone; yet still more restrict their selection criteria based around corporate governance issues like transparency reports rating various aspects such as soundness levels among others relevant metrics available about any given firm when deciding whether it should be included into an investor’s portfolio.
CFTC net positioning data
This multi-factor forecast for Paypal Holdings (PYPL) is based on a weighted average of five factor-dervied forecasts.Backtest PYPL
The Commitments of Traders
(CoT) is a weekly market report that the Commodity Futures Trading Commission (CFTC) issues. It lists the holdings of traders in different futures markets in the United States. The report covers positions in futures for grains, cattle, financial instruments, metals, energy and other commodities.
is a business that makes, processes, packs or sells physical products. Producers use futures markets to manage or hedge risks associated with their products.
The term Money Manager
refers to an entity that trades commodities on behalf of investor clients. They must be registered with the CFTC. Money managers include registered commodity trading advisors, commodity pool operators, and unregistered funds.