Congratulations to the winners of the 2018 CFA Society Toronto & Hillsdale Canadian Investment Research Award. The award winning paper, Equity Premium Predictability: Combination Forecasts versus Multivariate Regression Predictions was submitted by Dr. Claudia Champagne and Dr. Frank Coggins, Sherbrooke University and Dr. Stéphane Chrétien, CFA, CIPM, Laval University.
“The authors have discovered that using a combination of models to forecast the Canadian equity risk premium is superior to using regression in out of sample testing. Their findings are robust over 66 years in Canada and contribute to the solid base of evidence supporting the use of multi-model forecasting in the design of investment strategies,” said Chris Guthrie, CFA, President and CEO, Hillsdale Investment Management Inc.
CFA Society Toronto and Hillsdale Investment Management Inc. will award the $10,000 CAD prize to the winners on 15 February 2018 at CFA Society Toronto’s Annual Awards Reception. The research paper was selected by a panel of judges from among sixteen very competitive papers submitted by academics from top business schools in the world as well as practitioners of leading investment firms in Canada.
"Applied investment research is integral to Hillsdale's success and supporting this award strongly reflects our beliefs. We were pleased with the numerous, high caliber quality of submissions that were received this year and are proud to be working with CFA Society Toronto," said Harry Marmer, CFA, Executive Vice President, Hillsdale Investment Management Inc.
The abstract of the paper: “This paper examines the combination forecast and multivariate regression approaches for equity premium predictability. We evaluate 27 specifications with a unique Canadian database to avoid the data mining inherent in using common U.S. data. We find significant predictive evidence for most models. In sample, multivariate regression predictions perform better than combination forecasts, although regression results display evidence of instability and overfitting. Out of sample, combination forecasts are superior when relying on many individual models, but imposing economic restrictions on multivariate regression predictions yields similar performance. Both approaches show that incorporating information from numerous variables improves forecasting precision and economic value.”
“My co-authors and I are very grateful to CFA Society Toronto and Hillsdale Investment Management Inc. for awarding us the 2018 Annual CFA Society Toronto & Hillsdale Canadian Investment Research Award. We are especially proud that our academic work receives such a recognition that emphasizes the relevance, importance and degree to which the research has an impact on practitioner’s behavior in its evaluation criteria. We are thankful to these organizations not only for offering a unique and prestigious award that encourages applied research on topics related to Canadian capital markets, but also for publicizing the results of such research to the investment community,” said Dr. Stéphane Chrétien.
Note to editors: The event is open to the media who can register by emailing eventregistration@cfatoronto.ca and interviews are available upon request by emailing media@cfatoronto.ca. The Awards Reception will be held on 15 February 2018 from 5:30pm to 7:30pm at TMX Broadcast Centre, TMX Gallery, The Exchange Tower, 130 King Street West, Toronto,ON.
Media contact CFA Society Toronto
Jonathan Mai
CFA Society Toronto
Phone: (416) 366-5755 X 235
E-mail: media@cfatoronto.ca
Twitter: @cfatoronto
About Hillsdale Investment Management Inc.
Founded in 1996, Hillsdale Investment Management Inc. is one of Canada’s premier investment boutiques, managing over $2.0 billion in equities and absolute return strategies for institutional and private wealth investors. Hillsdale’s proprietary investment process utilizes the best of fundamental, quantitative and capital market research. With over 20 years of experience in disciplined active investment management, Hillsdale is committed to producing the highest quality investment strategies for its clients.
About CFA Society Toronto
CFA Society Toronto is Canada’s largest Society of CFA® charterholders, dedicated to supporting the professional and business development of over 9,500 members. We provide our membership with a local perspective on a global designation through our member services, which include: educational programs, sponsored events, employment postings, quarterly newsletters and networking opportunities. A not-for-profit organization, CFA Society Toronto is affiliated with CFA Institute, the global body that administers the Chartered Financial Analyst® curriculum and sets voluntary, ethics-based performance-reporting standards for the investment industry. CFA Society Toronto’s members are leaders in ethics in the financial community. For more information, please refer to
www.cfatoronto.ca.