Mean Reversion
The stock (PETROLEO BRASILEIRO) and its relevant ETF(MSCI BRAZIL) is a great example of mean reverting stock with respect to its ETF. Here is the yahoo chart : Mean Reversion
If one looks carefully, one can definitely find a lot of stocks where the residuals mean reverts…But the challenge is to do it on a large number of stocks quickly…Why should one do that ? Even you get beaten on one mean reversion trend , you are always safe, thanks to Law of large numbers.