The job involves researching a forecasting method that uses proven economic indicators to generate probabilistic forecasts for the future price of a range of Exchange Traded Funds (ETFs). The two indicators (Price to Book ratio and Shiller CAPE) are used to forecast stock market returns for various countries in the attached document. A similar forecasting method to the one used in the attached document can apply to different types of equity ETFs. However there some differences, I have documented the problems with using the approach for forecasting ETFs. The document also describes the scope of the job in detail, this document and the CAPE and PB data will be provided to interested applicants.
The job involves; using the CAPE and PB data to research potential forecasting methods for a small ETF test data set, documenting the effectiveness of the methods and providing quantitative outputs from the researched forecasting methods.
The successful candidate will have strong mathematical and statistical skills. They will also provide examples of similar work or demonstrate an understanding of ETFs and probabilistic forecasting.
February 20, 2018
I am willing to pay higher rates for the most experienced freelancers