Using S&P 500 Futures as a Historical Expectations Proxy

Summary

The discussion asks whether long-running monthly forecasts for the S&P 500 are available. The replies report that the contributors do not know of a historical survey tracking expectations for stock indices. They suggest using S&P 500 futures, whose data extend back to the 1980s, as a possible alternative source for studying market expectations. Another reply points to Bloomberg estimates for quarterly earnings and annual valuation multiples, while noting that these are not monthly index forecasts. Collecting updated sell-side forecasts is offered as another option, though the respondent doubts their value.

The exchange is a brief pointer to possible data sources rather than a forecasting method or empirical comparison. It does not show how futures prices translate into expectations, assess forecast accuracy, or explain how to obtain and clean historical data. Futures prices and analyst estimates should therefore be treated as distinct measures with their own interpretation and limitations; the document does not establish that either provides unbiased predictions of future index levels.

Key ideas

• The contributors report no known long-running survey of stock-index expectations.
• S&P 500 futures with history reaching back to the 1980s are suggested as an alternative data source.
• Bloomberg estimates cover quarterly earnings and annual valuation multiples in the respondent's experience.
• The discussion gives no method for interpreting these sources as forecasts or testing their accuracy.

Tags

# Forecasts for the S&P 500?


# Forecasts for the S&P 500?












Would anyone know of any monthly forecasts for the S&P 500, historical over a long time periods.

Websites like estimize provide forecasts of all sorts of things likes stocks and the balance of trade, but I can't seem to find any S&P 500 forecasts

Any ideas would be greatly appreciated!

## Answer by lemarin (score 1)

https://quant.stackexchange.com/a/59765

To the best of my knowledge there is no long-running survey of expectations for stock indices. Even if it did exist, you would be better served by using S&P 500 futures, which go back to the 80s.

## Answer by user42108 (score 0)

https://quant.stackexchange.com/a/59754

EEO on Bloomberg provides quarterly estimates of earnings and annual estimates of multiples (nothing monthly from what I can see). Alternatively, just collect the forecasts from the sellside as they're updated. I don't think they have any value whatsoever but you might find a way to productively use them.

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