A sobering analysis of financial gurus’ market forecasts

CXO’s evaluation of forecasters

The CXO Advisory Group of Manassas, Virginia, which offers “objective research and reviews to aid investing decisions,” has just published an interesting evaluation of equity market forecasts. Titled Guru Grades, the column concludes that the class did not do very well!

CXO evaluated a total of 6582 forecasts for the U.S. stock market, published by 68 different market experts, over the years 2005 through 2012. These forecasts were limited to publicly published predictions (i.e., not in private newsletters), and excluded forecasts that were judged too vague or too complex be reliably evaluated.

The results were not

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Lopez de Prado and Bailey speak at “Battle of the Quants”

On Wednesday March 26, 2014 at 11:15am Marcos Lopez de Prado and David H. Bailey, two of the bloggers on this site, jointly presented a talk How to spot backtest overfitting at the Battle of the Quants meeting in New York City.

The Battle of the Quants conferences, organized by Bartt C. Kellerman of Global Capital Acquisition, are held regularly in New York City, Shanghai and London. They gather together academicians, asset managers and other professionals in the area of quantitative finance and investment.

The viewgraphs of the talk by Lopez de Prado and Bailey are available here. Their talk

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