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The predictive bias

In case you got the annual forecast wrong, don't punish yourself. The recent publication by Jason Hsu suggests, “2013 was not the year for Nobel-worthy investment ideas”. If the Nobel prize winners can have a poor annual forecast, does forecasting accuracy need to be re-understood and re-defined? CAPE Failure Index dividend yields and cyclically adjusted price-to-earnings ratios (CAPEs), among other aggregate variables, can predict future equity returns. According to Hsu, “Though (Eugene) Fama and (Robert) Shiller are on the other side of market efficiency; both ...