Enhanced Mean Reversion
mean_reversion_enhancedReversal refined with liquidity and volatility filters to suppress false signals.
How the factor is constructed
Enhanced Mean Reversion combines diversified mean reversion transformations across multiple time frames, with enhanced conditioning to improve robustness.
The universe consists of the most liquid and actively traded assets, identified on a rolling basis and survivorship-bias free. Positions are scaled by the inverse of rolling volatility; the factor is available point-in-time with hourly updates.
Enhanced Mean Reversion vs. factor average
This .40 series is a tradeable but demonstrative model portfolio — a liquid top-40 implementation that evidences Enhanced Mean Reversion's cross-sectional predictive power. The product is the raw factor data: clients license it and apply it within their own models, universes and risk frameworks.
| Period | Return | EW avg | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | +0.00% | — | — | — | 0% |
| 3 months | +0.00% | — | — | — | 0% |
| Year to date | +0.00% | — | — | — | 0% |
| 1 year | +0.00% | — | 0% | 0.00 | 0% |
| Since inception | +0.00% | — | 0% | 0.00 | 0% |