Do Financial Gurus Produce Reliable Forecasts?

20 Pages Posted: 13 Mar 2019

See all articles by David H. Bailey

David H. Bailey

Lawrence Berkeley National Laboratory; University of California, Davis

Jonathan Borwein

University of Newcastle (Australia); Royal Society of Canada; Australian Academy of Science (deceased)

Amir Salehipour

University of Technology Sydney, Australia

Marcos Lopez de Prado

AQR Capital Management, LLC; Cornell University - Operations Research & Industrial Engineering; RCC - Harvard University

Date Written: February 28, 2018

Abstract

Many investors rely on market experts and forecasters when making investment decisions, such as when to buy or sell securities. Ranking and grading market forecasters provides investors with metrics on which they may choose forecasters with the best record of accuracy for their particular market exposure. This study develops a novel ranking methodology to rank the market forecaster. In particular, we distinguish forecasts by their specifi city, rather than considering all predictions and forecasts equally important, and we also analyze the impact of the number of forecasts made by a particular forecaster. We have applied our methodology on a dataset including 6,627 forecasts made by 68 forecasters.

Keywords: Marker forecasters ranking; Guru ranking; Market forecast

JEL Classification: G0, G1, G2, G15, G24, E44

Suggested Citation

Bailey, David H. and Borwein, Jonathan and Salehipour, Amir and López de Prado, Marcos, Do Financial Gurus Produce Reliable Forecasts? (February 28, 2018). Available at SSRN: https://ssrn.com/abstract=3339657 or http://dx.doi.org/10.2139/ssrn.3339657

David H. Bailey

Lawrence Berkeley National Laboratory ( email )

1 Cyclotron Road
Berkeley, CA 94720
United States

HOME PAGE: http://www.davidhbailey.com

University of California, Davis ( email )

One Shields Avenue
Davis, CA 95616
United States

HOME PAGE: http://www.davidhbailey.com

Jonathan Borwein

University of Newcastle (Australia)

Royal Society of Canada

Australian Academy of Science (deceased)

Amir Salehipour

University of Technology Sydney, Australia ( email )

Ultimo
Ultimo, NSW 2007
Australia

Marcos López de Prado (Contact Author)

AQR Capital Management, LLC ( email )

One Greenwich Plaza
Greenwich, CT 06830
United States

HOME PAGE: http://www.aqr.com

Cornell University - Operations Research & Industrial Engineering ( email )

237 Rhodes Hall
Ithaca, NY 14853
United States

HOME PAGE: http://www.orie.cornell.edu

RCC - Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

HOME PAGE: http://www.rcc.harvard.edu

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