Wednesday, February 16, 2011

Reversion to Mean

if outperformance tends to be followed by mediocre performance (and underperformance tends to be followed by better performance), then that is an indication of luck.  The strength and speed of reversion can be used as an indication of the amount of luck involved

http://www.portfolioprobe.com/2011/02/14/a-tangle-of-luck-and-skill/


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