| Abstract [eng] |
Remark on using interest rate forecast surveys to make tactical investment decisions. The aim of this thesis is to asses if interest rate forecast surveys can be used for tactical asset allocation decisions and generate excess portfolio returns. Consensus Economics surveys are used as a source of economists’ forecasts of 3-month and 10-year interest rates. The quality of these forecasts is measured in two ways. Firstly, by comparing the forecasts to historic forward rates using Brier score (QPS) and Brier score with Epstein correction (RPS). Second approach uses Consensus Forecasts to change predicted distributions of risk factors in tactical asset allocation model. Then quality of the forecasts is defined by backtesting and measuring excess return of the portfolio. |
