|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Three studies confirm FX4casts superior track record · Survey Data on Exchange Rate Expectations. Professors Jeffrey Frankel, Harvard, and Menzie Chinn, University of California. “We find some ability in the survey data to predict future movements in the exchange rate (and in the right direction!)” The empirical results in this paper are based on data from FX4casts, previously The Financial Times Currency Forecasters’ Digest. In Monetary Policy, Capital Flows and Financial Market Developments in the Era of Financial Globalization, edited by William Allen and David Dickinson.
· Predictability
in Financial Markets: What do Survey Expectations Tell Us?
National Bureau of Economic Research by Philippe Bacchetta and Elmar
Mertens, Study Center Gerzensee, University of Lausanne and Eric van
Wincoop, University of Virginia. This study uses FX4casts consensus
currency forecasts from August 1986 through July 2005. It found
there was “extensive evidence of predictability.”
· Returns
to Following Currency Forecasts,
Patrick Lehner, Swiss Federal Institute of Technology, Zurich, John
Okunev and Derek White, Principal Global Investors. This study
evaluates FX4casts consensus currency forecasts from 1984-2003. The
summary says: “By focusing on the extreme currencies, it was found
that from 1995 through 2003, a return of 57 basis points a month
could be earned…Returns earned by following the consensus
recommendations increased greatly when technical and/or interest
rate signals give similar rankings. For example, when twelve-month
currency forecasts agree with technical and interest rate signals,
the average monthly return jumped to 174 basis points.” Subscriber Comments “By providing a consensus of expectations, we have a higher level of comfort in FX4casts than forecasts of individual organizations, which vary widely.”- “FX4casts
has an excellent track record.” Similar studies – similar results · “Studies have repeatedly shown that combining predictions from diverse sources and methods generally results in significant gains in accuracy.” Geoffrey Moore, National Bureau of Economic Research, Inc. · “Consensus forecasting has emerged as the most accepted method of evaluating the financial, economic and currency outlook. The consensus has proved to be more accurate than the individual forecasts comprising it.” Walter Hoadley, Senior Research Fellow, Hoover Institute. · “At one time or another, every professional forecaster is wrong. Taken as a group, however, forecasters have a good record. Reliance on a consensus can at least keep you aware of signs that currency trends are changing.” Peter L. Bernstein and Theodore, Harvard Business Review FX4casts improves accuracy with the geometric mean FX4casts uses the geometric mean when computing consensus currency forecasts. By exponentially reducing the weight given to extreme forecasts, this reflects more accurately the contributors’ predominant expectations. The arithmetic mean, by contrast, is often misleading. For example, the average of 1, 2, 3 and 10 is 4. If the 10 is given equal weight, the arithmetic mean would not reflect the group’s primary expectations as well as would the geometric mean. |
|
RETURN TO TOP OF PAGE FX4casts.com™ |