A note on the performance of foreign exchange forecasters in a portfolio framework |
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| Affiliation: | 1. Department of Economics, University of Strathclyde, 100 Cathedral Street, Glasgow, G4 0LN, United Kingdom;2. Department of Accountancy and Business Finance, University of Dundee, Dundee, DD1 4HN, United Kingdom;1. Paediatric Intensive Care Unit, Department of Paediatrics, Complejo Asistencial Universitario de León, León, Spain;2. Paediatric Intensive Care Unit, Department of Paediatrics, Hospital Universitario Central de Asturias, Oviedo, Spain;3. CIBERes;4. Department of Anesthesiology and Critical Care, Hospital Universitari i Politècnic La Fe de Valencia, Valencia, Spain;5. Department of Paediatrics, Hospital Universitario Central de Asturias, Oviedo, Spain;6. Paediatric Intensive Care Unit, Hospital Universitario Central de Asturias, Oviedo, Spain;7. Universidad de Oviedo, Oviedo, Spain;1. School of Finance and Accounting, Fuzhou University of International Studies and Trade, No. 28, Yuhuan Road, Shouzhan New District, Changle, Fuzhou City, Fujian Province, PR China;2. Department of Finance, National Sun Yat-sen University, No.70 Lien-hai Rd., Kaohsiung 804, Taiwan, ROC;1. University of Brasília, Department of Management, Campus Darcy Ribeiro, Brasília, Federal District 70910-900, Brazil;2. University of Brasília, Department of Accounting, Campus Darcy Ribeiro, Brasília, Federal District 70910-900, Brazil;3. University of Brasília, Department of Economics, Campus Darcy Ribeiro, Brasília, Federal District 70910-900, Brazil;4. Federal University of Bahia, Department of Economics, Rua Barão de Jeremoabo, 668-1154 Salvador, Brazil;5. ICMA Centre, Henley Business School, University of Reading, Whiteknights, Reading RG6 6BA, United Kingdom |
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| Abstract: | This note investigates the ability of 22 currency forecasters to predict movements in three major exchange rates. In particular, it examines the profitability of portfolios of forward market positions constructed on the basis of the predictions of each forecaster. The key findings of the paper are that just one panel member proves significantly profitable to follow, and that investing on the basis of the naive alternative prediction of ‘no change’ produces high, though volatile, profits. We conclude that the majority of currency analysts have little ability to predict the future. |
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