Two-strategy comparison

Market Spillover vs Event Repricing

Shared available sample: 24 months, 2024-11–2026-10. Missing observations are excluded, never filled with zero.

Monthly correlation

0.15

Requires 12 paired months and non-zero variance

Both positive

4

Shared months

Opposite return signs

3

One positive, one negative

Zero-return months A / B

16 / 1

Zero return does not establish an empty position

Maximum month-end drawdown: Market Spillover −3.13%; Event Repricing −0.57%. Both below a prior peak: 0 months. Only Market Spillover below peak: 12; only Event Repricing: 1.

Complementary monthly returns do not establish a trading hedge or future diversification. Drawdowns use the arithmetic cumulative returns of the shared sample; gaps omit unknown returns. Month-end data hide intra-month losses. Backtest and mixed months are included and labelled; a short sample is uncertain. Metric definitions.