Here are some general ideas (applicable to any space) and then some thoughts specific to your domain/sector of investment.
General ideas to help sizing efforts in any market:
- Are there any public market comparables? If yes, their P&L and financial statements may be useful. Even if there is not a pureplay public competitor, if they have a business unit that competes with you in some sense, you might be able to download their 10k (annual report) or 10q (quarterly) and get some insights in the notes that management must provide or business unit level financials they might provide. This is available for free on sec.gov or even Yahoo finance I imagine.
- If there are public market comparables, look for equity research about them. In particular, look for reports entitled "Initiating Coverage". These reports when a bank or fin institution starts covering a company usually start with a market overview which can be pretty amazing for intel about the market. Warning: These reports are expensive so best to find a buddy on Wall Street with access to Bloomberg or Reuters who can find download them for you.
- As a proxy for interest in the space, you might want to see if VCs have recently invested in companies that are similar. Their interest is both a good validator of the market and based on their investment size, it's a proxy for how big the market opportunity might be. This doesn't get you to your specific numbers but maybe a proxy for market interest.
- Google it. Kind of lame, and I'm sure you've done it but just google "number of investors in the United States" and you may get some places to start. Sometimes even eHow or yahoo answers will be the first breadcrumb to finding something useful
Now to more specific sources for your market:
- Goto the website of FINRA which is for Financial Industry. It's mainly for brokers and wealth managers I believe, but there will probably be some line on there about how Finra was established to protect the X million US investors. There may be other regulatory bodies with data. These government sites are a treasure especially if you dig around. They'll prob give you investable assets, # of people, etc etc.
- See if you can find the going public documents of some past successes in the online investing space. I believe TheStreet.com went public. Maybe you can get their S1 filing for when they went public and you can find some stats in there. They are trying to "sell" their IPO at the time so they may provide some stats on how big the market is.
Hope that is helpful.
Have you found research reports that might be valuable but are too expensive? I'd imagine a space this big would have tons of research reports about it. Perhaps an incorrect assumption.