Joachim, have you come across research for predicting longer term forecasts e.g. 10-20 years.
A lot of asset managers use these longer term forecasts for return, vol and correlation but i'm not sure how many actually keep track of how accurate their forecasts are.
In addition, how would you construct a long term portfolio if long term forecasts are inaccurate?
On assumption we are equally bad at predicting fund manager outperformance in advance would you advocate equal weighting equity managers here also?
As a general rule, yes
Joachim, have you come across research for predicting longer term forecasts e.g. 10-20 years.
A lot of asset managers use these longer term forecasts for return, vol and correlation but i'm not sure how many actually keep track of how accurate their forecasts are.
In addition, how would you construct a long term portfolio if long term forecasts are inaccurate?