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I would really like to see actual financial data... but that information is really hard to get.

This site estimates sales of video games based on a set of data. Financial information could be estimated, but different stores have different sales, with different margins. MS and SONY take a certain cut for a specific number of titles sales.

Each title can also be split up into publisher (may be different for each region), the console maker, and the developer. In the cases you would also need to know the price for licensing.

Also, they would need to keep track of all peripherals (depending on whether you're keeping track of the consoles makers).

They would also need to keep track of marketing budgets, R&D budgets, manufacturing costs etc.

If you don't one of the factors into consideration, you may end up with a biased view of what is making money and what is not.