Sentences with phrase «on mean reversion»

Cardiff Garcia of the Financial Times» Alphaville blog in an August 20, 2010 article titled, Of fat tails and mean reversion agrees with James Montier's argument on the mean reversion and fat tails (see article below).

This would seem to indicate that, at an aggregate level at least, mean reversion is a powerful phenomenon and a pure contrarian investment strategy relying on mean reversion should work.

My intent with this point is not to introduce a debate on mean reversion, but simply to acknowledge the data we have historically observed across markets.

This view is broadly supported by other research on mean reversion in earnings that I have discussed in the past, which has suggested, somewhat counter-intuitively, that in -LSB-...]

My bet is on mean reversion... eventually, so the bet that present conditions persist is not so different.

On a mean reversion strategy we were researching, we noticed that after 10 days, 95 % of the positions end up being losers.

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?

On a mean reversion strategy -LSB-...]

My previous post The Health of Stock Mean Reversion: Dead, Dying or Doing Just Fine generated good reader's suggestions on other ways to check on mean reversion health.

I read an interesting article on mean reversion.

I agree with your point on mean reversion in P / E multiples.

Which markets test well given your outline on mean reversion part I & II?

Profit target: Using a profit target on mean reversion trades simply cuts your profit.

If the market transacts based on mean reversion, then it's a fact.

Here are a few examples of Graham's strategies which depend on mean reversion in business fundamentals (which presumably will also result in market's weighing machine function playing out)

In the next post, I will show results of doing an IS and OOS testing on a mean reversion strategy and how picking only one variation can be dangerous.

Not exact matches

Valuations on high - yielding stocks may have become overstretched in the historically low - yield environment, potentially making them vulnerable if the markets experience a mean reversion shift.

During my review of several quantitative trading books and papers, I kept on seeing information on two classes of trading strategies: mean reversion and momentum.

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

And mean reversion is always in the on - deck circle, playa.»

Greenspan mistakenly assumed he could kick the can down the road indefinitely, and he intentionally prevented mean reversion on the stock markets, housing markets, and pretty well nearly all markets.

If you apply the principle of mean reversion, history appears to favor China landing on top during this Year of the Dragon.

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.

Unlike most of our typical investment reports which focus on free cash flow utilization, net asset value investing, mean reversion of margins or special situations, this report will look at the investment merits of a company that generates little free cash flow at the moment and is somewhat of a growth investment if company management is successful in achieving its objectives.

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

Gummy's (Peter Ponzo's) web site Gummy's Tutorial on Mean Regression Reversion to the mean DOES exist.

I continue to believe that rates will have to go up (e.g. reversion to the mean, reduce the «real» value of $ 20T in US debt, expiration of «conspiracy theory» suggesting the Fed held rates on the floor until the election to get Hillary elected, etc, etc)....

(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.

Have you considered using market internals (market breadth, e.g. Advance / Declines) as a filter for your mean reversion trades on stocks?

I was recently interviewed on Better System Trader, click here for part one of the interview, about the steps for creating a stock mean reversion strategy.

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

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.

A company with a high return on net assets ratio, profit margin, or asset turnover relative to its industry median tends to have greater mean reversion in these measures.

Some would call this a «rebalancing bonus» — a way to capitalize on «reversion to the mean.»

Whether you are leaning towards a style of value investing focused on reversion to the mean or the one focused on finding underappreciated compounders of capital, you will need to be able to understand what the future economics of the underlying business are likely to be.

The process of mean reversion is built on the presumption that the underlying distribution (whether it be a time series or cross sectional) is stationary and that while there may be big swings from year to year (or from company to company), the numbers revert back to a norm.

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.

There are other prizes on that page, including mean - reversion, an improved Fed Model, Dollar - weighted vs. Time - weighted returns, limitations on academic financial research, demography, etc..

Can you provide some basic foundational knowledge on basics of mean reversion.

«I've only worked with Cesar briefly on the development of some mean reversion strategies.

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.

Aside from trend - following systems, there are systems that are based on the «mean reversion» theory.

Two concepts that support buying stocks on dips are reversion to the mean and market sentiment.

There is a tradeoff between taxes, fees and expenses and benefitting from mean reversion are at work here and I personally err if at all on the side of avoiding taxes, fees and expenses.

-LSB-...] The Health of Stock Mean Reversion: Dead, Dying or Doing Just Fine [Alvarez Quant Trading] My second post on this blog was a look at mean reversion, Is mean reversReversion: Dead, Dying or Doing Just Fine [Alvarez Quant Trading] My second post on this blog was a look at mean reversion, Is mean reversreversion, Is mean reversionreversion dead?

One of the most fascinating examples of the phenomenon of mean reversion was identified by Werner F.M. DeBondt and Richard H. Thaler in Further Evidence on Investor Overreaction and Stock Market Se...

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.

Granted, such a prediction would be entirely pinned on the assumptions of mean reversion (to 6 % growth p / a, and to a CAPE of 15), but it might provide an alternative (or at least discussion worthy) means of testing the predictions of the model.

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.