Fund ExplorerIndicesInsightsVideosPricing

Death, Taxes and Mean-Reversion

Waiting for Volatility

Nicolas Rabener
10 min read
6 Oct 2017

Notice: This research note was originally published in October 2017 and was updated in May 2018 as the results changed slightly due to more accurate backtesting models. The update nearly exclusively impacted the charts and the conclusions remain the same as originally published.

SUMMARY

  • Mean-reversion has not performed well over the last few years
  • Highly sensitive to model assumptions
  • The strategy is an attractive addition for an equity-centric portfolio

INTRODUCTION

Keep reading with Institutional

Includes the full research library of 400+ articles, plus Returns Analyzer and Risk Analytics for return and risk contribution analysis.