Historical Performance Across Market Regimes

Mean reversion strategies perform poorly during strong bull markets. Sustained upward trends lessen the number and size of price reversals. These strategies profit from deviations from a historical av

Mean reversion strategies typically struggle in sustained bear markets. Bear markets feature persistent downward trends. Prices deviate significantly from historical averages. This prolonged deviation

High volatility regimes present distinct challenges and opportunities for mean reversion strategies. Volatility measures the dispersion of returns. High volatility means larger price swings. These swi

Low volatility regimes affect mean reversion strategy performance. Volatility measures return dispersion. Low volatility shows smaller price movements. These periods often follow sustained trends. The

The 2008 financial crisis tested mean reversion strategies. These strategies profit when asset prices return to their historical averages. The crisis produced large market disruptions. Many assets sho

The 2020 COVID-19 pandemic caused extreme market volatility. Mean reversion strategies experienced immense pressure. Understanding their performance then provides valuable insights. The S&P 500 (SPX)

The Federal Reserve initiated a rapid interest rate hiking cycle in 2022. This cycle significantly impacted market behavior. Mean reversion strategies faced unique challenges and opportunities. Unders

Secular mean reversion describes long-term price tendencies. Prices revert to a long-term average over many years. This average represents fundamental value. Think of a company's earnings power or a c

Central bank policy significantly impacts mean reversion strategies. Policy decisions alter market volatility, liquidity, and asset correlations. These changes directly affect the profitability and ri

Mean reversion strategies profit from price deviations from a historical average. These strategies perform differently across market regimes. A market regime describes the prevailing characteristics o