The tracking signal calculated for the first forecast is always either +1 or -1.

Question

Quizplus · Accepted Answer

The tracking signal is calculated as the difference between the forecast and the actual value, divided by the standard deviation of the forecast error. In the first forecast, the actual value is not yet known, so the tracking signal is calculated as the difference between the forecast and the mean of the forecast distribution, divided by the standard deviation of the forecast error. This value is always either +1 or -1, because the mean of the forecast distribution is always 0.

The Tracking Signal Calculated for the First Forecast Is Always