Supervenience theory and the reflexivity problem

If something supervenes on the physical, we need to know why it supervenes. To say that it is just a brute fact that mental state X supervenes on physical state Y will not do. The reason is not hard to seek. If supervenience theory is true, then everything supervenes on the physical, and that would have to include the supervenience relation itself.  If everything supervenes on the physical plus a supervenience relation, then it is not quite true that everything supervenes on the physical. So we need an account as to why the supervenience relationship obtains, in order to avoid a reflexivity problem.