Sentences with phrase «as reversion to the mean»

Not exact matches

Gold has 5000 years of history behind it as currency, blink and you might miss the reversion to the mean of Gold being money again.

It's possible we're facing the final stage of this particular economic cycle, as a majority of fund managers suspect, but mean reversion could eventually bring conditions back to «normal.»

Clearly, adding a small out - of - range segment to a normally mean - reverting chart can make it look (at least temporarily) as if the mean reversion doesn't exist.

The mechanism for the lower returns, in my view, is not going to be some kind of sustained mean - reversion to old - school valuations, as the more bearishly inclined would predict.

The title has a sly double meaning, referring both to protagonist Léo's penchant for getting horizontal with nearly every person he encounters while tooling around the French countryside, seeking inspiration for a screenplay he never quite gets around to writing, and to the inherent difficulty of just being human, which Guiraudie imagines as a constant battle against reversion to an animal state.

If I use 2002 to 2006 as my OOS sample data for a mean reversion test, is that cheating?

The infatuation with growth at any price has reached an historic extreme, as shown, and sets up for a reversion to the mean, which should be meaningful for value investors.

Situations in which mean reversion does not happen are rare enough as to make a mean reversion assumption a consistent friend to the investor.

As to why, my theory is that it's because of the popularity of mean reversion strategies and quantified trading.

In all of my years of doing quantitative analyses of equity and debt markets, as well as the economy as a whole, my models have shown me that there is a tendency toward mean - reversion, but it is a very weak tendency that is swamped by shocks to the system in the short run.

As for the Treasury market — the yield on the securities will always serve as an aid to mean - reversion, and if there is no fundamental change, it will happen quicklAs for the Treasury market — the yield on the securities will always serve as an aid to mean - reversion, and if there is no fundamental change, it will happen quicklas an aid to mean - reversion, and if there is no fundamental change, it will happen quickly.

Each of these factors is likely to be temporary; if the rationale for high multiples goes away, then we'll get mean reversion in CAPE, possibly as a severe market downturn.

I think it would be helpful to post either monthly or quarterly updates to the graphs above, so as to get a gauge on how mean reversion is progressing.

Another great post, the results are consistent with my research into using stops with a mean reversion system, although trading without them has its own implications as you tend to have the occasional heavy loss to deal with.

Given a quality database, such as could be Norgate with delisted stocks, how many years of data would you recomend to properly test a mean reversion stategy?

With asset allocation, you're using the recent performance of you portfolio as a whole to identify the under - performing areas, then to increase your investment in them in the expectation that there will be a reversion to mean (i.e. the index is selling for cheaper than what they're «worth»).

If that's the case, we're at what can be considered a local max for Apple but it's more likely that as time goes by — and random events pile on — things will never to the mean (this is quasi-mean reversion).

Carlisle's work succeeds on two levels: It is both a gripping account of some of the most notable episodes in the history of shareholder activism as well as an instructive guide to profiting from mean reversion and activist opportunities in today's market.

This is known as «reversion to the mean» and it's something I expand on significantly in my advanced Forex trading course.

Mauboussin observes that reversion to the mean is a powerful force, and it impacts return on invested capital as it does many other data series.

As Figure 1 shows, mean reversion sets in up to one - third of the time.

I expect to see some «mean reversion» here this year, as the relationships return to normal.

As a general matter, if you're following a Graham / Schloss «group of stocks» strategy, I think you have to pay more attention to mean reversion with both ROIC and growth rates.

DeBondt and Thaler attribute the earnings outperformance of the companies in the lowest quintile to mean reversion, which Tweedy Browne described as the observation that «significant declines in earnings are followed by significant earnings increases, and that significant earnings increases are followed by slower rates of increase or declines.»

The counterintuitive element is that companies within the lowest price - to - book quintile — not, by any means, earnings machines — tend to grow earnings faster than companies in the highest price - to - book quintile, a phenomenon that value investors recognize as «mean reversion».

Though the momentum anomaly (weak as it has been recently) usually favors portfolios with stronger price momentum, the relationship breaks down over longer periods of time, and more severe moves, where mean - reversion tends to take over.

-LSB-...] investors refer to contrarian investing as a phenomenon that takes advantage of reversion to the mean.

James argues mean - reversion strategies are alive and well as long as markets continue to swing from a cheery consensus to gloom and vice versa.

More generally, as first documented by DeBondt and Thaler (1987), a stock, on average, experiences short - term mean reversion on a monthly horizon, then momentum on the horizon of up to a year, and then mean reversion on the horizon larger than a year and strongest over 2 to 3 years.

Speaking of which, his professional touchstone in managing investments — his firm had «more than US $ 97 billion in assets under management as of December 2011» — is «reversion to the mean»:

There goes that little Einstein by the name of Kim, who can't figure out that the sun goes through the same reversion - to - the - mean fluctuations as the earth.

WHT describes Earth climate (and the Sun) as being best approximated as a random walk with a reversion to mean characterisics over the long term.

The earth's climate in the last several hundred thousand years has always been best described as a long - term random walk with reversion - to - the - mean characteristics.

I applied the SOI since it goes back to 1880 and one can see the cumulative trend of CO2 forcing together with the natural variations, the latter which largely cancel out as they go + / - around a reversion to the mean.

It is probably better described as an Ornstein - Uhlenbeck type of red noise model with a strong reversion to the mean, i.e. 0C.

«For those reasons, we see a mean reversion play out over the coming months as players look to cash in and late - coming bulls are flushed, with support in the $ 400s, at which point a pump and dump cycle may start once again,» he said.

(b) in relation to the parties to a de facto relationship or either of them — means property to which those parties are, or that party is, as the case may be, entitled, whether in possession or reversion.

(a) in relation to the parties to a marriage or either of them — means property to which those parties are, or that party is, as the case may be, entitled, whether in possession or reversion; or