Our Economic Scenario Generator integrates short and long investment horizons consistently across all asset classes and economies. The methodology applied – a frequency domain approach combined with dynamic factor models – aims to capture complex realities as best as possible.

Periodic back-testing research

How well does our methodology behave in back-tests? After all, a scenario model is as strong as its ability to project future events in a realistic way.

Our back-testing results indicate a 10% outperformance compared to competing approaches and models. We see the strongest forecasting performance on a medium-term 3-year horizon.

Besides measuring how well our models perform in terms of expectations, we also back-test the quality of our scenarios for different confidence intervals.

Read more

For more details on our back-test research and how we use the results for calibrating our Economic Scenario Generator, download our short paper.

Download your copy

By submitting my contact information, I confirm that I have read the Ortec Finance Privacy statement, which explains how Ortec Finance collects, processes and shares my personal data. I consent to my data being processed with Ortec Finance's Privacy Policy. Ortec Finance can optimize my experience with the Ortec Finance brand.

We respect your privacy

Related Insights

Cookies help us improve your website experience.
By using our website, you agree to our use of cookies.