# Research: Forecast Scorecard & Manager Behavior in 2020/2022 (Exhibit Source Pack)

Collected 2026-10-09. All numbers with inline source URLs. For client-pitch exhibits — verify against primary sources before publishing figures externally.

---

## EXHIBIT 1 — Consensus forecast accuracy scorecard

### A. The strategist year-end S&P 500 forecast record (2000–present)

Core dataset (Bespoke Investment Group, Paul Hickey; cited by NYT / Seattle Times / 6 Meridian):
- Since the forecast for year-end 2000, the **Wall Street consensus predicted a gain every single year** — average forecast ≈ **+8.8%** per year.
- The **average gap between consensus forecast and actual outcome was 14.2 percentage points**.
- The S&P 500 fell in **7 of 25 calendar years** (~28%), yet consensus **never once predicted a decline**.
- Sources: NYT (Dec 2024) https://www.nytimes.com/2024/12/20/business/stock-market-predictions-investing.html ; Seattle Times reprint https://www.seattletimes.com/business/wall-street-is-again-making-irrelevant-market-predictions-commentary/ ; 6 Meridian 25-year retrospective https://6meridian.com/2025/01/market-predictions-a-25-year-retrospective

Year-by-year headline misses (for the exhibit table):
| Year | Consensus forecast (avg strategist) | Actual S&P 500 | Miss |
|---|---|---|---|
| 2001 | +19% (largest forecast of the 25-yr sample) | −13% | ~32 pp |
| 2008 | +9.2% | −38.5% | ~48 pp |
| 2018 | +6% implied | −6% | ~12 pp |
| 2019 | +19% implied | +29% | ~10 pp |
| 2022 | +8.8%-type typical call (UBS 4,850; BofA 4,600) | −19.4% | worst-class miss |
| 2023 | +6.2% | +24.2% | ~18 pp under |
| 2024 | +2–3% (lowest forecast in 25 years) | +23% | ~20 pp under |
Sources: 2001/2008: https://6meridian.com/2025/01/market-predictions-a-25-year-retrospective ; 2018/2019: https://claytonwealthpartners.com/folly-of-year-ahead-forecasts/ ; 2023/2024/2025: NYT & Seattle Times above; Globe and Mail https://www.theglobeandmail.com/investing/markets/inside-the-market/article-market-forecasts-arent-as-accurate-as-people-think/

Aggregate statistics over the 10-year Barron's strategist survey window (through 2019):
- Average implied forecast return **+9.2%/yr** vs actual average **+11.8%/yr**; but the **average absolute error was 8.5 pp/year**.
- Source: https://claytonwealthpartners.com/folly-of-year-ahead-forecasts/

Kathmere/Natixis 19-year series (2000–2019): average forecast +8.7%/yr; average miss **14 pp/year**; within 2 pp of actual only **twice in 19 years**; within 5 pp only **6 of 19 years**. A naive "always assume +9%" would have had a *smaller* average error than the actual strategists. Sources: https://kathmere.com/2019/01/25/prediction-season/

Vanguard study (returns since end-2010): **75% of the time** the actual one-year return landed *outside* the entire strategist range — above the most bullish or below the most bearish call. Source: Globe and Mail article above.

### B. CXO Advisory "Guru Grades" (the deepest individual-forecaster study)

- **6,582 graded forecasts from 68 gurus** (2005–2012 collection; oldest forecast end-1998). **Overall directional accuracy 46.9%** (worse than a coin flip); **47.4% averaged by guru**. Accuracy stable at ~48% over time; CXO stopped grading in 2013.
- Dispersion looked like a bell curve of random outcomes: best 68%, worst ~22%; ~66% of forecasters below 50%.
- Named scores (per CXO): Ken Fisher 66.4%, David Dreman 64.4% (70% per Forbes piece), Laszlo Birinyi ~64%, Bob Doll ~60%, Doug Kass 49.2%, Jim Cramer 46.8% (37% per one retelling), **Abby Joseph Cohen (Goldman's famous bull) 35.1%**, Jeremy Grantham 41%, Marc Faber 39%, Gary Shilling 34%, Robert Prechter ~20.8% (worst).
- Academic replication (Bailey, Borwein, Salehipour, López de Prado, *Do Financial Gurus Produce Reliable Forecasts?*): only **48% correct**; 66% of forecasters under 50%; best 79% (John Buckingham), worst ~10–20% bucket.
- Sources: https://www.cxoadvisory.com/gurus/ ; https://www.cxoadvisory.com/investing-expertise/guru-stock-market-forecasting-accuracy-over-time/ ; https://www.cxoadvisory.com/investing-expertise/guru-grades-project-milestones/ ; https://www.forbes.com/sites/rickferri/2014/01/23/gurus-achieve-an-astounding-47-4-accuracy/ ; https://www.cbsnews.com/news/who-are-the-most-least-accurate-stock-gurus/ ; https://www.wealthmanagement.com/equities/the-in-accuracy-of-market-forecasts ; https://www.kiplinger.com/article/investing/t038-c000-s002-which-market-gurus-get-it-right-the-most.html ; https://www.forbes.com/sites/rickferri/2013/01/10/ts-official-gurus-cant-accurately-predict-markets/

### C. Famous single-year examples

- **2008**: consensus +9.2% forecast vs −38.5% actual (48 pp miss) — the exhibit's headline row. Source: https://6meridian.com/2025/01/market-predictions-a-25-year-retrospective
- **2022**: strategists carried bull-market targets (UBS 4,850 end-2022, earlier "S&P to 5,000"; BofA 4,600) into a −19.4% year. Sources: https://www.forbes.com/sites/sergeiklebnikov/2021/12/01/heres-what-wall-streets-biggest-banks-predict-for-stocks-in-2022-and-what-to-watch-for/ ; https://www.businessinsider.com/stock-market-outlook-sp-500-predictions-2022-price-targets-recommendations-2021-12 ; UBS CIO July 2022 outlook ("S&P 500 to 5,000 by year-end 2022") https://advisors.ubs.com/landmarkwm/mediahandler/media/468298/Market%20Outlook%20July%2022.pdf
- **2023**: consensus forecast +6.2% amid a near-universal recession call; actual **+24.2%** — the "consensus recession that didn't happen" case. Sources: Seattle Times/NYT above; Reuters https://www.reuters.com/markets/rates-bonds/investors-count-bonds-rescue-battered-6040-portfolio-2023-2022-12-21/
- **2024**: lowest consensus in 25 years (+2%) vs +23% actual. Source: 6 Meridian above.
- Structural point: in 97 years of S&P history, **not one calendar year's total return fell inside the 8–10% "average" band** — the number strategists forecast every year. Source: https://6meridian.com/2025/01/market-predictions-a-25-year-retrospective

### D. Swiss/European equivalents

- **UBS house calls**: UBS Global Wealth Management CIO targeted S&P 5,000 for year-end 2022 (raised from 4,850); actual close **3,839.50** — a ~1,160-point (~23%) miss on its own house forecast. Sources: UBS outlook PDF above; actuals from any S&P data provider.
- No systematic UBS/Credit Suisse multi-year accuracy study was found in public sources — if the exhibit needs a Swiss-house panel year-by-year, the practical route is Bloomberg's annual strategist-target compilations (UBS, CS, Julius Baer appear in Swiss press round-ups each December). Flag this as a data gap; recommend building the panel from December Swiss press (finews.ch, NZZ, SRF) if a Swiss-specific exhibit is required.

---

## EXHIBIT 2 — March 2020 and 2022: what managers did vs rule-based/trend alternatives

### A. March 2020 drawdown mechanics

- S&P 500 peak-to-trough: **−33.79% from Feb 19 to Mar 23, 2020 — in 23 trading days** (dot-com: 389 days; GFC: 260 days to reach comparable −33/−35%). Q1 2020 return −19.60%; March alone −12.35%. Then **+15.57% in the last 8 days of March** (Mar 23–31).
- VIX closed at **82.69 on Mar 16** (all-time high at the time); March realized volatility **93.44% annualized** — highest since 1928 records.
- Sources: Gateway Investment Advisers March 2020 recap (Bloomberg data) https://www.gia.com/march-2020-market-recap/ ; RCM Alternatives corona-crash deep dive https://www.rcmalternatives.com/2020/04/hows-managed-futures-doing-during-the-corona-crash/

### B. What active/discretionary managers actually did

Academic study — Beber/Fabozzi-style "Mutual Fund Performance and Flows During the COVID-19 Crisis" (daily returns of US active equity funds, Feb 20–Apr 30, 2020):
- **74.2% of active equity funds underperformed the S&P 500** during the 10-week crisis window; average underperformance **−5.6% cumulatively (−29.1% annualized, t = −5.37)** vs the S&P; −11.02%/yr vs FTSE/Russell style benchmarks; >80% had negative CAPM alphas.
- The average active fund did **not** protect capital in the crash subperiod (Feb 20–Mar 23): crash-period benchmark-relative performance negative across essentially all metrics.
- Flows: active equity funds saw steady **outflows ~1.3% of AUM (~$43bn) during the crisis**, continuing through the rebound — i.e., money left late, missing the recovery. Corporate bond funds bled ~**9% of assets** Feb–Mar 2020 (Falato, Goldstein, Hortaçsu 2020).
- Source: https://exa.ai/library/publication/7v3zynrnrcb (also mirrored at https://exa.ai/library/publication/16xyfhc2sj4)

Morningstar ("Has the Bear Market Been a Bonanza for Active Funds? Nope."):
- During the bear leg (Feb 20–Mar 16, 2020) **only ~42% of active funds beat their indexes** — no better than during the preceding rally (~44%). The average active fund lagged its index by ~0.42 pp in the bear leg.
- Funds that "protected" in the sell-off had lagged by **>600 bps/yr during the prior rally** — the classic de-risk-too-early/de-risk-too-late whipsaw: average bear-market outperformer still lagged over the full Dec 2018–Mar 2020 period.
- Source: https://www.morningstar.com/funds/has-bear-market-been-bonanza-active-funds-nope

Fund-flow evidence of the panic turn:
- **Record long-term fund outflows of $326bn (1.7% of the $19.7tn industry) in March 2020**; taxable-bond funds saw record **$240bn outflows**; money funds took a record **$685bn inflow**; actively managed equity funds shed **$31bn in March** — while passive equity funds took in $41bn, which turned out to be near the bottom.
- Source: Morningstar flows release, Apr 15, 2020 https://www.prnewswire.com/news-releases/morningstar-reports-us-mutual-fund-and-etf-fund-flows-for-march-2020-301040558.html

Europe: Copley Fund Research via FT — 1,350 US equity funds underperformed passive equivalents by **1.44% net of fees in Q1 2020**, worst in four years. UK active peer group underperformed an FTSE All-Share ETF by **3.5% in Q1 2020**; only 22% of EM active funds beat MSCI EM. Source: https://www.netwealth.com/resources/our-views/strike-3-another-downturn-another-failure-by-active-managers-to-outperform/

### C. 2022: the fundamental-bias year

- **S&P 500 −18.1% (price −19.4%)**; Bloomberg US Aggregate **−13.0% — the worst year for US bonds on record** (first time both stocks and bonds fell together since 1969 per Callan). ICE BofA US Treasury index −11%, worst on record.
- 60/40 (S&P 60/Bloomberg Agg 40, annual rebalance): **−16% for the full year**; at the Sept-2022 trough it was down ~20% YTD — worst calendar year since 1937 era / second-worst since 1976 Agg inception (only 2008 worse); first year since 1974 in which the bond sleeve *amplified* equity losses. In real (after-inflation) terms, likely the worst 60/40 year ever.
- Sources: Welton (S&P −18%, bonds −13%) https://www.welton.com/performance-drivers-return-for-quant-macro-and-trend-following/ ; WisdomTree 60/40 analysis https://www.wisdomtree.com/us/insights/blog/60-40-reports-of-my-death-are-greatly-exaggerated ; JPM Guide to the Markets (2022 first bond-amplified year since 1974) https://am.jpmorgan.com/us/en/asset-management/institutional/insights/market-insights/guide-to-the-markets/guide-to-the-markets-slides-us/investing-principles/gtm-annualrtrns/ ; CNBC/Faber real-terms point https://www.cnbc.com/2022/10/03/why-60/40-portfolio-is-on-track-for-its-worst-year-ever-says-cio.html ; Dimensional drawdown framing (−19% peak-to-trough vs −28% GFC) https://www.dimensional.com/us-en/insights/the-60-40-portfolio-down-but-not-out ; Reuters https://www.reuters.com/markets/rates-bonds/investors-count-bonds-rescue-battered-6040-portfolio-2023-2022-12-21/

- **Manager inaction / "fundamental bias"**: the recurring documented pattern in 2022 was value/fundamental-driven managers treating equities and long-duration bonds as cheap and adding/holding through falling prices. Hard published quantifications of "average manager inaction" are scarce; usable evidence: (i) active-fund underperformance breadth studies for 2022 (Morningstar Active/Passive Barometer — a majority of active large-cap funds trailed in 2022 despite high dispersion); (ii) the RCM/SocGen attribution showing bond trends were plainly shortable from Q1 2022 onward while most fundamental managers stayed long duration. If the pitch needs a citation for the phrase, use practitioner write-ups, e.g. Welton's piece above ("bonds lost −13% when they were supposed to provide much relied-upon diversification"). Flag: this sub-point (d) — systematic manager-letter blame-language analysis post-2022 — had no strong public dataset; closest proxies are Morningstar's annual Active/Passive Barometer and annual "worst hedge-fund letters" round-ups.

### D. The rule-based/trend contrast — the money exhibit numbers

**2022 (best trend year ever):**
- **SG CTA Index +20.07%** — best annual gain since index inception 2000 (prior peak +15.75%, 2013... source text shows +15.66% in 2014).
- **SG Trend Index +27.35%** — the best year in the index's history (since Jan 2000); 2022 Sharpe ratio >1.
- Four consecutive positive years: cumulative 4-yr return CTA Index +39.8%, Trend Index +61.3%.
- Drivers per SG attribution: fixed income/rates, currencies, energy — gains "predominantly from downward trends in bond and interest-rate markets" — i.e., the exact trade fundamental 60/40 portfolios refused to make.
- Sources: https://www.hedgeweek.com/flat-december-sees-ctas-complete-record-year-2022/ ; https://thefullfx.com/year-end-drop-fails-to-dampen-stellar-2022-for-trend-followers/ ; https://www.alpha-week.com/2022-cta-index-performance-review ; https://www.hedgeweek.com/trend-followers-turn-leaders-ctas-deliver-record-returns-2022/

**March 2020 (the honest caveat to include):**
- Classic medium-term trend following was **roughly flat, not short** in the crash leg: SG CTA Index **−1.49% in February and +0.14% in March 2020** (−0.32% YTD as of Apr 6). Rationale: a −33% move in 23 trading days is inside the noise band of 30/60/90-day lookback models; trend systems had only begun flipping short late in the leg.
- SG's Trend Indicator (hypothetical model portfolio) reportedly gained ~23% during March as downtrends extended — showing the *speed* problem: slower institutional programs (the SG Trend Index constituents) captured far less of the violent round-trip.
- Sources: https://www.rcmalternatives.com/2020/04/hows-managed-futures-doing-during-the-corona-crash/ ; https://hedgeweek.com/news/ctas-stage-comeback-further-gains

**Pitch framing this supports:** discretionary consensus was wrong at the extremes in both episodes — March 2020 (de-risking into the bottom, record flows out at the low) and 2022 (holding "cheap" assets all the way down, −16% for 60/40) — while a mechanical trend rule set (a) sat neutral through the too-fast 2020 crash without capitulating and (b) harvested the 2022 bear with its best year ever (+27.35%). Price action doesn't need to know *why*; it needs to move when the market does.

---

## Data gaps / verify before client use
1. SG CTA/Trend monthly numbers are secondhand press reports of SocGen index data — pull the official series from https://wholesale.banking.societegenerale.com/en/prime-services-indices/ before printing.
2. No public systematic study of UBS/CS house-forecast accuracy across years — build a Swiss panel from December press round-ups if needed.
3. Post-2022 manager-letter blame-language quantification doesn't exist as a dataset; use Morningstar Active/Passive Barometer as the citable proxy.
4. The "~23% March 2020" figure is the SG *Trend Indicator* (model portfolio), not the SG Trend Index — don't conflate in the exhibit.