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The M6 forecasting competition: Bridging the gap between forecasting and investment decisions

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  • Makridakis, Spyros
  • Spiliotis, Evangelos
  • Hollyman, Ross
  • Petropoulos, Fotios
  • Swanson, Norman
  • Gaba, Anil

Abstract

The M6 forecasting competition, the sixth in the Makridakis competition sequence, focused on financial forecasting. A key objective of the M6 competition was to contribute to the debate surrounding the Efficient Market Hypothesis by examining how and why market participants make investment decisions. To address these objectives, the M6 competition investigated forecasting accuracy and investment performance in a universe of 100 publicly traded assets. The competition employed live evaluation on real data across multiple periods, a cross-sectional setting where participants predicted asset performance relative to that of other assets, and a direct evaluation of the utility of forecasts. In this way, we were able to measure the benefits of accurate forecasting and assess the importance of forecasting when making investment decisions. Our findings highlight the challenges that participants faced when attempting to accurately forecast the relative performance of assets, the great difficulty associated with trying to consistently outperform the market, the limited connection between submitted forecasts and investment decisions, the value added by information exchange and the “wisdom of crowds”, and the value of utilizing risk models when attempting to connect prediction and investing decisions.

Suggested Citation

  • Makridakis, Spyros & Spiliotis, Evangelos & Hollyman, Ross & Petropoulos, Fotios & Swanson, Norman & Gaba, Anil, 2025. "The M6 forecasting competition: Bridging the gap between forecasting and investment decisions," International Journal of Forecasting, Elsevier, vol. 41(4), pages 1315-1354.
    • Handle: RePEc:eee:intfor:v:41:y:2025:i:4:p:1315-1354
    DOI: 10.1016/j.ijforecast.2024.11.002
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    1. Sotirios D. Nikolopoulos, 2025. "An Imbalance-Robust Evaluation Framework for Extreme Risk Forecasts," Papers 2512.00916, arXiv.org.
    2. Daniil Koloskov & Marina Turuntseva, 2025. "The oil and coke prices forecast evaluation using the different forecasting scheme," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 80, pages 5-25.

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