Tag Archives: prediction

Testing an S&P 500 prediction

If a particular prediction comes true, how surprised should we be? The prediction The page that sparked my curiosity tells of a prediction made a year ago that the S&P 500 would beat its historic high by the end of 2011.  It says that at the point the prediction was made, the level of the … Continue reading

Posted in Fund management in general, R language | Tagged , | 2 Comments

The mean reversion of Groundhog Day

February 2nd is Groundhog Day.  If Punxsutawney Phil sees his shadow, then he goes back into his burrow and hibernates for six more weeks.  Otherwise he predicts an early spring. It is really a mean reversion idea — current good weather means bad weather later, and vice versa. The other Groundhog Day Most people outside … Continue reading

Posted in Fund management in general | Tagged , , | 3 Comments