  The M6 forecasting competition, the sixth in the Makridakis' competition
sequence, is focused on financial forecasting. A key objective of the M6
competition was to contribute to the debate surrounding the Efficient Market
Hypothesis (EMH) by examining how and why market participants make investment
decisions. To address these objectives, the M6 competition investigated
forecasting accuracy and investment performance on 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.
