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@daniel_egan I think mean reversion is a property of certain types of random processes y(•) that implies—loosely stated—that on average, y(t+a) will be closer to E[y(t+a)] than y(t) is to E[y(t)].On twitter.com
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@daniel_egan Is performance characterized by mean reversion? Depends what you mean by “performance”! For example • Percent change in a portfolio over a period vs dollar change over a period vs dollar value at the end of the period? • Risk adjusted?Permalink On twitter.com
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