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A SQUARE

Expertise on volatility

Wednesday, June 20, 2007
Mean reversion is driven by pain and pleasure rather than greed and fear.

A SQUARE :: 20Jun07 Expertise on volatility
Category Volatility
Faculty Peter Van Kleef
Expertise Volatility
Author Sona Blessing
Faculty Name
Losses are often the result of “bad luck” - and suggest that the strategy being followed is one that is based on luck as opposed to skill. This is cause for concern. Hence it is important to determine and understand what caused the drawdown rather than fret over the fact that it exists. The nice thing about volatility is that keeping relative prices at unreasonable levels is very expensive. Mean reversion for closely related products therefore tends to be exceptionally reliable.
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