Market Commentary

Mean Reversion: Parts 2 & 3

The prior market commentary looked at the U.S. & EM mean reversion trade. This note will cover U.S. & Europe and U.S. & Japan. Recall:

“A lot of the global price action is simply catch up from Q4 2024’s deeply oversold price action.

“The question now is, where is the puck going? Is this bounce sustainable? Should investors get more bullish on non-U.S. names and lard up on foreign risk”?

The problem set is being approached using the same framework for the US & EM trade: using rolling, 100-day trading windows over the past decade to help us contextualize the recent non-U.S. outperformance.

SPY vs. IEUR, Rolling 100-Day Outperformance Analysis (2015–2025)