Sentences with phrase «for mean reversion in»

The contrarian approach is to look for mean reversion in both fundamentals and valuation.

De Bondt and Thaler's findings stand the conventional wisdom on its head and show compelling evidence for mean reversion in stocks in a variety of forms.

It seems like that diminishes the opportunities for mean reversion in larger, more liquid names.

Not exact matches

This means that materials could be ripe for mean reversion, representing one of the most attractive entry points in recent memory.

I'm actively looking at my debt and determining if it makes more sense to pay down mortgages (locking in a guaranteed ~ 4 % return) or investing in bonds (~ 1 % returns if held to maturity) or stocks (uncertain, but I just wrote an article about the current PE ratio and the inevitable reversion to the mean and I believe we are likely headed for 10 years of low single digit returns).

Understanding margins in a historical context and investigating the opportunity for mean reversion is also very important.

From a «consensual positioning» perspective which touches on this current «mean - reversion dynamic in the marketplace: say this big bond rally were to gather steam into a much more punishing squeeze of the «all - time» UST short base (largely due to the previously mentioned lack of «tolerance» for beginning of year performance pain).

Bogle, 87, called me from his Vanguard office at Valley Forge, Pa., on Wednesday to discuss the hedge - fund redemptions, which he attributes to a surge of competition in the sector and the inevitable «reversion to the mean» for returns.

I operated in the world of supply and demand which translates into reversion to the mean for an investor.

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 current case for non-US versus US equities supposes an eventual mean reversion in historically divergent performance and valuation trends.

For more on standard deviation and mean reversion, I invite you to download my whitepaper, «Managing Expectations: Anticipate Before You Participate in the Market.»

Because of a rougher - looking schedule than in years (I mean, who really knows until halfway through the season — it was a big surprise to most that the AFCW wasn't tougher in 2017 for instance, or that the NYG would suck so epically), and no Shazier, and general reversion to the mean, and no particular reason to think Ben will be available for every game... I'll say 10 -5-1 with losses @ Tampa, @ Cin, Carolina, @ Denver, LAC.

In the case of YouGov, this is actually within the normal range of their recent polling (they had the Tory lead at 7 and 8 points in August too) and the MORI poll is probably at least partially a reversion to the mean after an anomalously high 45 % score for the Tories their previous polIn the case of YouGov, this is actually within the normal range of their recent polling (they had the Tory lead at 7 and 8 points in August too) and the MORI poll is probably at least partially a reversion to the mean after an anomalously high 45 % score for the Tories their previous polin August too) and the MORI poll is probably at least partially a reversion to the mean after an anomalously high 45 % score for the Tories their previous poll.

For now inflation remains tame, but work by the BlackRock Investment Institute suggests some mean reversion in U.S. core inflation during the course of the year.

John Hussman has a method for calculating 10 - year expected returns from Shiller PEs that assumes mean reversion in the PE over the 10 years.

If I were back in early 1987, would I think that the mean reversion target for the VIX should be 18.94?

Given the strength of the mean reversion effect in volatility, for the VIX to stay elevated for a long period of time requires a series of crises akin to what we had in 1998 - 2002.

Claugus is also very interesting in that he generally trades against the market, looking for mean reversion situations.

Hi Professor Damodaran, In discussing mean reversion for broad equity indexes, here are a few factors that seem potentially relevant, which I didn't find mention of in your post: 1) Technology network effect: technology revolutions (electricity, transistor, computer, internet, etc) engender decades - long streaks of further invention and commercializatioIn discussing mean reversion for broad equity indexes, here are a few factors that seem potentially relevant, which I didn't find mention of in your post: 1) Technology network effect: technology revolutions (electricity, transistor, computer, internet, etc) engender decades - long streaks of further invention and commercializatioin your post: 1) Technology network effect: technology revolutions (electricity, transistor, computer, internet, etc) engender decades - long streaks of further invention and commercialization.

I think your point about using CAPE across countries as a way of allocating money across global equity markets is a good one but it does draw on the cross sectional version of mean reversion, not the time version that many in the market are using CAPE for right now.

Looking at this data, at least, the evidence seems strong that a high CAPE today goes with lower stock returns in future periods, with the mean reversion becoming stronger for longer time periods.

The current case for non-US versus US equities supposes an eventual mean reversion in historically divergent performance and valuation trends.

All these things look ripe for mean reversion, which seems to be a key skill in deep value investing.

In general for mean reversion adding any kind of stop seems to make the numbers worse.

3) You need to add in some momentum and weak mean reversion for asset prices.

Mean - reversion is involved in value investing, in the sense that return on equity for firms tends to mean - revert over time.

Perhaps mean reversion for these strategies still lies in their future, at which point the typical negative relationship will become evident.

Most of the explanations we have discussed for the rise in the CAPE ratio are inherently temporary and are subject to the risk of mean reversion The CAPE naysayers tend to focus on the reasons why a high CAPE ratio can support a high return and tend to ignore the reasons this may not be the case.

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.

It demonstrates that variance ratios are among the most powerful tests for detecting mean reversion in stock prices, but that they have little power against the principal interesting alternatives to the random walk hypothesis.

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»).

I've posted here regularly about the implications of mean reversion in elevated profit margins (see, for example, The Temptation To Abandon Proven Models In Speculative and Fearful Markets: Why This Time Isn't Different, What Record Corporate Profit Margins Imply For Future Profitability and The Stock Market, Warren Buffett, Jeremy Grantham, and John Hussman on Profit, GDP and Competitionin elevated profit margins (see, for example, The Temptation To Abandon Proven Models In Speculative and Fearful Markets: Why This Time Isn't Different, What Record Corporate Profit Margins Imply For Future Profitability and The Stock Market, Warren Buffett, Jeremy Grantham, and John Hussman on Profit, GDP and Competitiofor example, The Temptation To Abandon Proven Models In Speculative and Fearful Markets: Why This Time Isn't Different, What Record Corporate Profit Margins Imply For Future Profitability and The Stock Market, Warren Buffett, Jeremy Grantham, and John Hussman on Profit, GDP and CompetitionIn Speculative and Fearful Markets: Why This Time Isn't Different, What Record Corporate Profit Margins Imply For Future Profitability and The Stock Market, Warren Buffett, Jeremy Grantham, and John Hussman on Profit, GDP and CompetitioFor Future Profitability and The Stock Market, Warren Buffett, Jeremy Grantham, and John Hussman on Profit, GDP and Competition).

«We are impressed by the inexorable tendency for reversion to the mean in security returns.

Unlike asset prices in general, for which mean reversion is a multi-year phenomenon, deviations in market liquidity away from normal levels are very short lived, often lasting only weeks or months.

Meanwhile, Vince's models find mean - reversion in over-extended stocks for short - term trades of the type Chris did.

That said, the risk premium factor shows that the largest gains tend to come in the southwest quadrant: low equity valuations and high Baa bond yields, which is a perfect set - up for mean reversion.

I've studied mean reversion for years, and it exists in almost all markets as a weak factor.

-LSB-...] paper also discusses in some detail a phenomenon that I find deeply fascinating, mean reversion in earnings predicted by low price - to - book values: Research (in Fama and French 1992, for example) shows that -LSB-...]

By Jack Forehand, CFA (@practicalquant) «Importantly, reversion to the mean in the investment business extends well beyond the results for mutual funds.

I don't have a lot of faith in the market as a whole, so I am biased toward the green zone, looking for mean - reversion, rather than momentum persisting.

Also normalize for the Operating / reported EPS ratio «mean reversion» if you believe in mean reversion.

My approach was to play for the weaker mean - reversion effect, and have a lower turnover rate than would be needed in a value plus momentum strategy.

Trading infrequently, play in the green zone — don't look for momentum, look for mean reversion.

Of course, it does imply mean reversion & economic flexibility — so you always want to watch out for the exception: A secular / permanent step - change in a country's circumstances, and / or an inability to adjust to changing circumstances.

PIMCO wrote that positioning for mean reversion will be a less compelling investment theme in a world where realized returns cluster nearer the tails and away from the mean.

The inherent randomness present in the natural process of falling sick and healing back makes it an obvious candidate for mean reversion.

I operated in the world of supply and demand which translates into reversion to the mean for an investor.

The research we present in this article provides evidence that valuations are a key reason for this mean reversion: underperforming managers tend to hold cheaper assets, with cheaper factor loadings, setting them up for good subsequent performance, whereas recently winning managers tend to hold more - expensive assets.

Because we are pooling across time, mean reversion in market performance is likely responsible for a significant portion of this result.