Leakage-Aware Benchmarking of LLM Forecasting: Real-Time Nowcasts as the Decision-Time Input for Macro Factor Ranking
Macro signals and regime strategies in equities, studied by Guan and Chen in 2026 with a large language model. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“The full pipeline obtains a median monthly Spearman rank IC of +0.154, with positive means across three non-overlapping contiguous 12-month subwindows; the mean IC remains statistically underpowered, with a bootstrap 95% confidence interval that includes zero.”
AssetEquities
StrategyMacro signals
TechniqueLarge language model
GeographyUS
Also stated: Daily, Long-short, Macro
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMacro signals and regime strategies by year
FamilyMacro signals and regime strategies49Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 953
AssetEquities25
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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