Bloomberg FX Forecast Accuracy Ranking
(Bloomberg) -- Currency forecasters are ranked on three criteria: margin of error, timing (for identical forecasts, earlier ones received more credit) and directional accuracy (whether the movements the forecasts implied coincided with the currency's overall direction). The ranking below, which was based on Bloomberg's foreign exchange forecasts (FXFC), was for the four quarters ended on December, 31, 2015.
Scores were calculated each quarter for the three criteria, which were weighted 60 percent, 30 percent and 10 percent, respectively. The final score for each currency pair was the time-weighted average of the four quarterly scores. Only forecasters who submitted estimates for at least three of the four quarters were included.
The Best Overall forecasters were identified by averaging the individual scores for each firm on all four quarters. Forecasters had to be ranked in at least seven of the 11 pairs to qualify for the overall ranking. 31 firms qualified. All ranking tables display the top 20 percent of the forecasters who were eligible, to a maximum of 10 names.
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