178 months, December 2008 to September 2023
Track record
Every forecast was made using only what was known on the day, by a model fitted only on earlier months. Nothing here is edited afterwards.
Scores
| Forecast | Rank correlation | Interval | Months positive | First half | Second half | Top 3 minus bottom 3, a month |
|---|---|---|---|---|---|---|
| Model | -0.002 | -0.067 to +0.063 | 50% | -0.068 | +0.064 | -0.14% |
| Momentum | +0.011 | -0.048 to +0.077 | 51% | +0.013 | +0.010 | -0.04% |
| Each sector's own average | -0.055 | -0.106 to +0.002 | 39% | -0.065 | -0.045 | -0.37% |
Intervals are 97.5% bootstrap intervals over months. The model counts as working only if its interval excludes zero and its rank correlation is above momentum's.
The last two years scored
| Month end | Ranked highest | Ranked lowest | Highest minus lowest, next month | Rank correlation |
|---|---|---|---|---|
| 2023-09-29 | Communication services, Consumer discretionary, Financials | Real estate, Energy, Utilities | -0.65% | +0.03 |
| 2023-08-31 | Financials, Communication services, Consumer discretionary | Health care, Real estate, Energy | -1.26% | +0.01 |
| 2023-07-31 | Consumer discretionary, Industrials, Technology | Real estate, Materials, Energy | -0.17% | -0.02 |
| 2023-06-30 | Technology, Health care, Consumer staples | Real estate, Materials, Energy | -2.25% | -0.45 |
| 2023-05-31 | Energy, Real estate, Industrials | Communication services, Health care, Technology | +2.90% | +0.51 |
| 2023-04-28 | Communication services, Consumer discretionary, Industrials | Real estate, Utilities, Energy | +7.91% | +0.74 |
| 2023-03-31 | Financials, Energy, Health care | Consumer discretionary, Real estate, Technology | +3.12% | +0.44 |
| 2023-02-28 | Communication services, Energy, Materials | Utilities, Health care, Industrials | -0.02% | -0.02 |
| 2023-01-31 | Energy, Utilities, Health care | Real estate, Consumer discretionary, Communication services | -2.21% | -0.45 |
| 2022-12-30 | Technology, Financials, Materials | Communication services, Industrials, Health care | +2.83% | +0.17 |
| 2022-11-30 | Utilities, Energy, Financials | Health care, Industrials, Communication services | +0.90% | +0.11 |
| 2022-10-31 | Utilities, Financials, Consumer staples | Health care, Communication services, Energy | +2.36% | +0.27 |
| 2022-09-30 | Energy, Utilities, Consumer staples | Real estate, Health care, Communication services | +7.88% | +0.31 |
| 2022-08-31 | Consumer staples, Technology, Financials | Real estate, Materials, Communication services | +2.16% | +0.43 |
| 2022-07-29 | Consumer staples, Utilities, Health care | Materials, Communication services, Consumer discretionary | +1.47% | +0.19 |
| 2022-06-30 | Energy, Consumer discretionary, Utilities | Materials, Real estate, Health care | +5.21% | +0.31 |
| 2022-05-31 | Consumer staples, Utilities, Technology | Health care, Materials, Communication services | +3.19% | +0.38 |
| 2022-04-29 | Communication services, Utilities, Consumer discretionary | Health care, Materials, Energy | -5.87% | -0.02 |
| 2022-03-31 | Communication services, Consumer staples, Utilities | Materials, Real estate, Energy | -2.45% | -0.41 |
| 2022-02-28 | Communication services, Utilities, Consumer discretionary | Materials, Health care, Energy | -1.90% | -0.28 |
| 2022-01-31 | Consumer discretionary, Industrials, Communication services | Real estate, Consumer staples, Energy | -4.40% | -0.14 |
| 2021-12-31 | Energy, Communication services, Consumer discretionary | Health care, Consumer staples, Real estate | +7.13% | +0.30 |
| 2021-11-30 | Energy, Industrials, Consumer discretionary | Consumer staples, Real estate, Technology | -5.14% | -0.54 |
| 2021-10-29 | Communication services, Industrials, Energy | Materials, Real estate, Utilities | -3.85% | -0.43 |
36 later months (October 2023 onwards) have forecasts on file but are held back from scoring until the model is frozen.