PT - JOURNAL ARTICLE AU - Gary Smith TI - A Fallacy That Will Not Die AID - 10.3905/joi.2016.25.1.007 DP - 2016 Feb 29 TA - The Journal of Investing PG - 7--15 VI - 25 IP - 1 4099 - https://pm-research.com/content/25/1/7.short 4100 - https://pm-research.com/content/25/1/7.full AB - Regression to the mean is a pervasive statistical phenomenon that invites causal explanations for random fluctuations. A notorious economic example of this fallacy was exposed more than 80 years ago, yet regression to the mean continues to be overlooked or misinterpreted by economists, even Nobel laureates.TOPICS: Statistical methods, portfolio construction, portfolio theory