Strategy Note /
Global

MEAN-REVERSION ON EQUITY INDEX LEVEL

    FactorResearch
    8 September 2021
    Published byFactorResearch
    1. Mean-Reversion on index level became profitable post the 1970s, before that Momentum dominated
    2. The structural shift from Momentum to Mean-Reversion is consistent across markets
    3. Likely explained by the evolution of financial markets