Sentences with phrase «lesser mean reversion»

However, if we stick to the base rates on fundamentals, we get a much lesser mean reversion than we get in stock market returns.

Not exact matches

These can be trending or mean reversion systems, but on a shorter time frame — Weissman cites that these generate signals for trades that last 10 days or less.

Carlisle does an excellent job of explaining how the powerful forces of mean reversion can make some metrics less useful in identifying investable companies.

Thinking about price momentum and mean - reversion are also lesser matters, because if your time horizon is a long one, the initial results will have a modest effect on the ultimate results.

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.

If you normalise the fuel margins the implied multiple can start to look less attractive, and to the extent the market does not expect mean reversion in terms of fuel margins this could lead to a nasty surprise.

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.

I haven't done a quantitative analysis, but my guess is that given an old record, «A», and a new record, «B», the expectation that a year soon after B will be even less than B (a newer record) is probably less the larger the B minus A difference (eg, reversion to the mean), BUT, the expectation that a year soon after B will be less than A should increase the larger that difference (eg, there is more confidence in a larger decreasing trend due to Bayesian updating).