Comments on: Mean Reversion (also 500th post!)

By: Tactical Asset Allocation Based on the Yield Curve – World Beta – Engineering Targeted Returns and Risk

Mon, 16 Nov 2009 18:04:28 +0000

[...] Mean Reversion After Really Bad Months [...]

By: WorldBeta

WorldBeta — Sat, 06 Jun 2009 00:31:08 +0000

The backtest goes back to 72, this is just the update…

By: Gerry Dantone

Gerry Dantone — Sat, 06 Jun 2009 00:25:36 +0000

A one year back test on this mean reversion idea does not seem to be sufficient and since most of the market tanked and recovered together, the fact that it applied across asset classes may mean it only applies to 2008/2009. I'd be very cautious on this one.

By: Mean Reversion - World Beta - Engineering Targeted Returns and Risk

Mean Reversion - World Beta - Engineering Targeted Returns and Risk — Fri, 05 Jun 2009 21:20:53 +0000

[...] Below I update the post from May on mean reversion. [...]

By: terminsurance

terminsurance — Mon, 11 May 2009 05:11:26 +0000

Good comparison galore. At least finding how to correct bad results is now comparatively easy.

By: chartsandcoffee

chartsandcoffee — Sun, 10 May 2009 16:56:49 +0000

Charts and Coffee Weekly Market Forecast – http://chartsandcoffee.blogspot.com/2009/05/sun...

By: Moshe

Moshe — Sun, 10 May 2009 07:18:48 +0000

Wonder wether same logic would apply for months with best monthly return? Any results?

By: keithpiccirillo

keithpiccirillo — Sat, 09 May 2009 22:41:23 +0000

I just read the GTAA timing model and this article, as well as many of your very credible links.
As everything is trending up, it may take a while for a set up.
Is there any credibility in part of the explanation as to why this works is because money flows take so long for institutions?
KBW the Bank Index seems to be one that fit the criteria well. January was a bad month. February was worse. Entering at the end of either month should have outperformed. A year from that initial entry would be a good time to be long gone though.
Sixty days is a nice time frame to watch and plot – I will follow this idea.
I used to see an annuity product decades ago via The Travelers. It did not do very well. LOL.