Sentences with phrase «for reversion to the mean»

Value managers are usually looking for a reversion to a mean; trying to identify assets that they consider undervalued at this point but that they think are going to come back.

There is a BIG «when factor for reversion to the mean.

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.

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

So if you are looking at something like professional swimming and recording the lap time for Michael Phelps, it won't be a revelation that the outcome (lap timings) stays pretty much consistent with very little scope for reversion to the mean.

Not exact matches

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).

For mean reversion to occur, either the gold price needs to appreciate or share prices need to fall.

Several years ago, we began working with Jack after discovering that his short - term «reversion to the mean» ETF system greatly complimented the Morpheus momentum trading strategy for individual stocks.

This recent turn of events favoring international equities over U.S. equities could point to the early makings of a mean - reversion following years of outsized gains for U.S. equities.

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.

I give Grantham credit for coming to this realization (something he has done before) but I wonder how his investors feel about it after years of playing the mean reversion waiting game.

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 poll.

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.

(Note for wonks: I estimated the mean reversion level (which is very close to the historic mean, no surprise) by regressing the one - day lagged Old VIX on the Old VIX itself.

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.

He credits much of the success of the «formula» for this but attributes it to «reversion to the mean».

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

I trace my awakening to the dangers of mean reversion to the 2008 crisis but I believe that the signs of structural change were around me for at least a decade prior.

For mean reversion, the two best rankings I have found are 100 - day Historical Volatility (ranking from high to low) and Rate of Return (3,5,7 day) ranking from most sold off to least.

But we were very comfortable that the big - picture trends around food consumption were a long - term tailwind that argued for even better than a reversion to the mean.

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.

To paraphrase Mr. Varadi, most of the opportunities arise at the same time so it is really no better than trading a stock index for mean reversion.

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

When it over-or under - shoots it accounts for this with the assumption of mean reversion to 15x.

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 quickly.

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

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.

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.

The last part of the paper discusses two possible explanations for mean reversion: time varying required returns, and slowly - decaying «price fads» that cause stock prices to deviate from fundamental values for periods of several years.

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»).

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).

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 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 CompetitioFor Future Profitability and The Stock Market, Warren Buffett, Jeremy Grantham, and John Hussman on Profit, GDP and Competition).

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

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.

It also gives ideas time to develop; mean reversion is typically a 3 - 5 year process, so allow time for this.

This would seem to somewhat explain mean reversion of stock prices of low p / b value firms (once Mr. Market realizes he can pay less for income - generating assets), but doesn't explain earnings growth.

-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.

This goes to show that mean reversion is a powerful force for a proven, repeatable process.

For us though, based on over two decades of data, the sweet spot for mean reversion equity trading tends to be 3 - 7 daFor us though, based on over two decades of data, the sweet spot for mean reversion equity trading tends to be 3 - 7 dafor mean reversion equity trading tends to be 3 - 7 days.

We find that what constitutes «excellence» for managers is most often not the case for investors... While financial «excellence» is defined by Watermann and Peters is a laudable management achievement, we find that it tends to produce a high - priced stock with potential for downward 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.