...I have talked a lot about various strategies for systematic trendfollowing and mean reversion on World Beta. In "Time to Put Money to Work" we examined what happens after really bad months in asset classes.
What were the key take-aways?
- It does not pay to buy an asset class after a really bad month for the following 1 month.
- 12 Months later the return is not much different than average.
- 3 and 6 month returns, however, are stronger. You pick up on average about 3-4% abnormal returns buying after a terrible month. That annualizes to about 10% per annum....MORE
Wednesday, July 2, 2008
Mean Reversion After Bad Months
From World Beta: