Before revision:  It is found that traditional factors should almost always be included in the feature matrix and moving average rotations of the data can provide important gains for various forecasting targets  .
After revision:  It is found that traditional factors should almost always be included in the feature matrix and moving average rotations of the data can provide important gains for various forecasting targets . Also, we note that while predicting directly the average growth rate is equivalent to averaging separate horizon forecasts when using OLS-based techniques, the latter can substantially improve on the former when regularization and/or nonparametric nonlinearities are involved .