Combining expert forecasts: Can anything beat the simple average?

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Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging (2016, unknown): “As long as point forecasts are concerned, a simple average yields satisfactory results (Genre et al., 2013).”
Machine Learning Advances for Time Series Forecasting (2020, methodology): “Another extension of the Diebold and Mariano’s (1995) test is the conditional equal predictive ability (CEPA) test proposed by Giacomini and White (2006).”
Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2017, background): “In the econometric ﬁeld, the combination of forecasts is a major issue (Genre et al., 2013) and simple averaging constitutes a relevant and eﬃcient approach in many cases.”
An empirical comparison of alternate schemes for combining electricity spot price forecasts (2013, unknown): “It is highly robust and is widely used in business and economic forecasting, see e.g. Clemen (1989), Stock and Watson (2004) and Genre et al. (2013).”