Bloomberg FX Forecast Accuracy Ranking – Majors Q3’2019 | Rabobank

Bloomberg FX Forecast Accuracy Ranking
– Majors Q3’2019

By Wei Lu

Q3’2019 FX forecasters are ranked based on three criteria: margin of error, timing (for identical forecasts, earlier ones received more credit) and directional accuracy (movements with the currency’s overall direction). The ranking below, which was based on Bloomberg’s foreign exchange forecasts (FXFC), was for forecasters who provided forecasts for Q3’2019 in at least three of the four preceding quarters but no later than one month prior to September 30, 2019.

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.

The best overall forecasters were identified by averaging the individual scores for each firm on all 13 currency pairs and all four quarters. Forecasters had to be ranked in at least eight of the 13 pairs to qualify for the overall ranking (50 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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