David Gaffen, writing at MarketBeat triggered that question with a couple posts yesterday:
Midday Tidbits — All Hail Inner Mongolia Yitai
It turns out MarketBeat was premature with this post declaring Robert Pavlik the best of the 12 forecasters the Wall Street Journal polled at the beginning of 2007. With a prediction of 13250 for the Dow, Barry Ritholtz of Fusion IQ ended the year just 14 points off the mark, best among the forecasters. His S&P 500 figure, 1475, was just seven points away from the 1468 year-end mark, and heck, predicting 3.95% on the 10-year note when it ends at 4.03% ain’t too shabby either.All hail Mr. Ritholtz. The other post looked at Abby Joseph Cohen:
Blog Roll — Thinking About Financials
...The folks at CXO Advisory looked at the stock-picking prowess of Abby Joseph Cohen of Goldman Sachs, and found her to be pretty decent, but not infalliable. “very limited evidence suggests that Abby Joseph Cohen is a little better as a stock market forecaster than her average peer, but a little worse than a simple algorithm,” they write.Can Stock Market Forecasters Forecast? is the title of a paper by one of my heroes, Alfred Cowles III.
It appeared in Vol.1, No. 3 of Econometrica, after having been read to a joint meeting of the Econometric Society and the American Statistical Society.
Mr. Cowles answer to the question?
It is doubtful.December 31, 1932.
I'll have more on Mr. Cowles work later today. In the meantime, here's The Cowles Foundation for Research in Economics at Yale University.
The Cowles Foundation continues the work of the Cowles Commission for Research in Economics, founded in 1932 by Alfred Cowles at Colorado Springs. The Commission moved to Chicago in 1939 and was affiliated with the University of Chicago until 1955. In 1955 the professional research staff of the Commission accepted appointments at Yale and, along with other members of the Yale Department of Economics, formed the research staff of the newly established Cowles Foundation.