Since the early days of modern financial analysis, investors have tried to recognise patternsin seemingly random and unpredictable pricemovements. At the centre of this, of course, is thequestion of whether a trend observable in the rear-view mirror will continue or reverse. As we havebeen systematically and successfully investing inmean reversion for some time, this article examinesthe possible reasons why it has dominated marketbehaviour over the last 24 years and highlights theobstacles to exploiting it.

• Momentum and mean reversion on the stock market are phenomena that have preoccupied researchers fordecades.
• Mean reversion can occur as a cross-sectional mean reversion (reversal of the relative performance) and astime series mean reversion (absolute reversal to the mean of individual assets).
• The two forms of mean reversion have led to various absolute return-orientated, truly uncorrelated strategiessuch as pairs trading or long-short investing on indices.
• In this article, we focus on mean reversion in time series and examine the possible causes of the observedmean-reverting behaviour in major equity markets since the turn of the century. Lastly, our article shows howAmadeus harvests the associated returns.