Sentences with phrase «exhibit mean reversion»
Any system that combines skill and luck will exhibit mean reversion over time.
https://greenbackd.com/
They note that periodic rebalancing to fixed asset class weights tends to perform well in trendless markets exhibiting mean reversion but suffers during extended trends.
Whether or not you take valuations into account, the real, annualized, total return of the S&P 500 exhibits MEAN REVERSION.
Not exact matches
Economic volatility exhibits strong mean reversion.
Relative valuation levels for most factors exhibit strong mean reversion.
Valuation - based tactical asset allocation has proven very hard to execute over time, for a simple reason: Asset - class valuations do not exhibit much mean reversion.
Are you stating that the data generating process governing the instrumental record must exhibit mean - reversion (i.e. a necessary condition for stationarity)?