Continued Strong Nowcasting Signal Performance

AKAnomics’ thesis has been that the implications of detailed global industry (from macro series) data is not baked into consensus, primarily because the Wall Street researchers lack the sophisticated tools required to digest the complexity of global macro/industry data, and deduce their implications to company performance in real time.

AKAnomics hence estimates revenues of US companies based on global macro data, and updates its estimates each week as new data is made available. Our 3+ years of live history continues to prove this both in fundamental terms, as well as in turning these estimates into quant equity signals.

The chart below shows that historically, AKAnomics estimates are far closer to actual revenue growth of the Industrial companies we track, than consensus. And over the past several quarters, AKAnomics company-level estimates have been on the right side of consensus 68-75% of the time whenever AKAnomics is able to identify a large revenue surprise (estimate minus consensus).

Additionally, the revenue surprise estimates produced by AKAnomics each week can be turned into signals suggesting revenue beats/misses, and simple sector-neutral strategies based on these signals continue to show a Sharpe between 1 and 2.5 (depending upon the strategy), over the 3+ year live history.

Here is the returns chart that follows our previously published strategy paper.

We invite equity quant funds, and Industrials discretionary PMs to learn about how to incorporate global industry data into their decision framework.