The methods of foreign exchange rate forecasters differ so much that simple comparisons are not meaningful. Euromoney's 10th annual survey tried to overcome the limitations of a standardized evaluation by inviting forecasters to: 1. submit their own calculations of the 4 statistics making up the body of the survey, and 2. submit any other statistics and/or considerations believed relevant for the user of the firm's forecasts. For the 1987 survey, participants were asked to provide results that: 1. showed their own calendar 1986 performance, 2. were a historical track record, 3. showed the performance obtained by following their recommendations, and 4. reflected unleveraged performance on an underlying asset or liability whose value would not change with hedging performance. All respondents commented that some assessment of the risk associated with achieving a particular level of profitability is necessary. It also was suggested that, once a forecaster has shown an ability to outperform the market, forecaster choice should be based on compatibility with the user's style. The usefulness of a forecast depends upon the client's ability to use the service.
Full text: Euromoney, Aug 1987
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