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Statistikk › Avkastning på lang sikt › Correlation forecasts

Correlation forecasts explain about a quarter of what later happens, and that is the best case

Correlations, 36 month horizon
0.24
Covariances, 36 month horizon
0.35
Covariances, 12 month horizon
0.18
Variances, 36 month horizon
0.52
Best variance model, 36 months
0.54

Correlation between the past sample statistic and the subsequent realised statistic, out of sample, from a study of US single stock covariances. Forecasts are formed each April from 1968 to 1997 using the prior 60 months of returns. The universe is NYSE and AMEX common stocks priced above five dollars, excluding the smallest fifth by market capitalisation.

Out of sample, predicted covariances correlate 0.16 to 0.20 with realised covariances at a twelve month horizon. Correlations are the hardest of the three moments to forecast, at about 24 per cent against 35 per cent for covariances and 52 per cent for variances.

0.16 to 0.20Correlation of predicted with realised covariances, 12 months
omtrent 24%Past against future correlations, 36 months
about 52%Past against future variances, 36 months
0.36 to 0.54Forecast regression slope, 12 months

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