Sentences with phrase «not mean reversion»

The nude did not mean a reversion to academic rigor but disciplined modernization, culminating with Pink Angels in 1945 and a sharp turn to abstraction.

Today, we'll look at whether or not mean reversion trading still works (it does).

The DTAYS strategy is not a mean reversion strategy but a momentum strategy.

Not exact matches

Past performance doesn't guarantee future results, of course, but the implications here are very compelling if mean reversion takes place.

The way to identify mean reversion is not simply to ask whether a variable has recently returned to its mean.

I thought the things I read explained mean reversion quite clearly, but I wasn't entirely clear on how to implement momentum investing

The basis of my assertion that equity market returns over the next 10 years will likely be in the low single digits, if not negative, is my belief in the irresistible force of mean reversion.

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.

History and mean reversion can be defied for a while, but we believe it is not «different this time.»

Since reversion is used repeatedly in the pages following this section, most Whiteheadians can not quite believe Whitehead meant exactly what he said.

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.

And for me, that means keeping control of it, or not giving it all away (derivative rights, foreign rights, etc) without proper compensation and / or suitable reversion clauses.

Rights reversion can be tricky, especially when the contract doesn't give the author a unilateral (meaning «one - sided») right to terminate.

So you're seeing a reversion to the mean effect — a print success (and hence e-success) in the UK just doesn't affect the US odds very much and vice versa.

I believe # 5, incidentally, from your point of view, though I don't think I could call the erosion of competitive advantages of certain companies to be mean reversion, if and when it occurs.

If there is mean reversion in the difference between the two yields, the effect is not a strong one.

I have some daily models for interest - rate sensitive sectors that I haven't trotted out yet, which switch between mean reversion and mean aversion that do better than this, but I don't believe them because they are too good.

The question is not whether mean reversion is fact or fiction, it's whether market participants believe that mean reversion is fact or fiction.

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 commercialization.

I don't disagree with anything here, but it seems like you're treating mean reversion as «fact or fiction.»

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.

The types of structural changes that can cause distribution to go awry range the spectrum, and the following is a list, albeit not comprehensive, of why these changes in the context of mean reversion over time.

The nature of markets, though, is that every point of view has a counter, and it should come as no surprise that just as there are a plethora of strategies built around mean reversion, there are almost as many built on the presumption that it will not happen, at least during a specified time horizon.

I don't see the VIX being a strong predictor to mean reversion returns.

They argued that value strategies produce superior returns because most investors don't fully appreciate the mean reversion phenomenon, which leads them to extrapolate past performance too far into the future.

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

This was not meant to be a trading strategy but a high level look at mean reversion.

Apparently your results reflect the strong uptrend of the market and can not be used to support mean reversion unless the series are properly detrended.

Since this is not possible (for most of us), I don't think that the resulting statistics reflect the reality of trading a stock mean reversion system.

The Double 7's Strategy may have worked in the past because mean reversion trading was not as popular.

Unfortunately like a lot of stock mean reversion strategies, the last couple of years have not been that great.

From this point of view, I don't see anything that says mean reversion is dying or dead.

Juicy Excerpt # 5: Because the precise timing of this mean reversion is not known in advance, and is indeed random, expecting the result to happen in the short - term will not be possible.

LSV frame their Contrarian Investment, Extrapolation and Risk findings in the context of «contrarianism,» arguing that value strategies produce superior returns because most investors don't fully appreciate the phenomenon of mean reversion, which leads them to extrapolate past performance too far into the future.

On reflection, i suspect then that the above graph doesn't just capture mean - reversion in CAPE, but also mean reversion in the other factors contributing to total return — inflation, dividends, and growth rates.

3) Using mean reversion to make «bullish» data lower, but not to equally make «bearish» data higher is intellectually bankrupt.

I don't care if returns come from mean reversion or growth.

Shiller's research showed that CAPE ratios do not predict future growth rates; he found that some of the strongest mean reversion in the capital markets is between past and future earnings growth rates.

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.

Perhaps the relationship is, in fact, weak and the factor is not prone to mean reversion.

While we know that 10y - trailing are not always accurate predictors of future performance, on average they work pretty well because they take advantage of mean reversion over long timeframes.

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.

Does not using maximum loss stops on a mean reversion strategy still produce the best results in terms of Compounded Annual Growth or Maximum Draw Down?

FWIW, I personally trade a more advanced mean reversion system on and end - of - day basis meaning I don't need to sit in front of a screen.

We could not believe it but tests on other mean reversion strategies showed the same thing.

The numbers do not tell me anything is out of whack with mean reversion.

We often predict by extrapolation and do not consider reversion to the mean.

I want to be clear that I am not saying one should trade mean reversion without stops.

If you didn't use the concept of mean reversion to your advantage in 2017, now is a great time to start!