26
Dec
09

Newton y Estrategias

Kid Dynamite´s World tiene un post que relaciona La Primera Ley de Newton con el movimiento que tuvieron las acciones este año.

Lo más interesante es la explicación que hace de la diferencia entre dos tipos de estrategias: mean reversion strategies y momentum strategies. La fuente de dicha explicación es una presentación de Jeff DeGraaf (ex- Lehman Brothers).

Now, Degraaf’s presentation illustrated distribution curves showing return profiles for each strategy.  Each curve looked nearly  normal in shape (a bell curve), but there were two key differences.  First – in the mean reversion strategy, the mode (most common result – the peak of the bell curve) of the return distribution was slightly positive – mostly your trades make a little bit of money.   On the momentum strategy, the mode of the return distribution was slightly negative – the bell curve was centered slightly to the left of zero – most of your trades actually lose a little bit of money.


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