A good day for mean reversion today, but the strategy is still struggling to remain in positive territory. 🔽 https://t.co/3RktVFchq2
Flipped green YTD in the small account but still down in the big account YTD. https://t.co/upteIkUoVo
Mean reversion season. https://t.co/6tLvrH88Yr
Ahead of the New York market opening, cross-asset models indicate a mixed outlook for the S&P 500 index. Five hours before the opening, the model predicted a gain of 0.10%, although futures were down 0.12% from the previous close. The most bullish signal came from global equities at 0.11%, while commodities provided the least bullish signal at 0.04%. Two hours prior to the open, the model adjusted the expected gain for the S&P to 0.08%, with futures down 0.32%. The most bullish signal shifted to rates at 0.13%, while the foreign exchange signal remained the least bullish at 0.06%. Over the last 20 days, the S&P has underperformed the model's predictions, with a cumulative underperformance of 0.77% and 1.01% noted in different assessments. On March 19, the model indicated a gain of 0.02% for the S&P, with futures up 0.22%, and again highlighted rates as the most bullish signal at 0.17%. Cumulatively, the S&P has underperformed the model by 1.56% over the same 20-day period.
