Aperiodic · AF-MR · FactsheetAs of Jul 24, 2026
AF-MR
Mean Reversion
mean_reversionBasket-based mean reversion signal diversified across different windows to capture broad reversal dynamics.
CAGR
+19.39%
Ann. vol
15.5%
Sharpe
1.22
How the factor is constructed
Mean Reversion is a basket-based signal diversified across different windows to capture reversal dynamics and statistical arbitrage opportunities in crypto assets.
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.
Signals
Reversal
Cross-sectional
Construction
Rank-weighted
Long / short
Risk
Vol-targeted
Inverse-vol scaled
Data
Point-in-time
Reproducible
Mean Reversion
Performance & risk by period
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | -4.66% | +5.12% | — | — | -5.2% |
| 3 months | -5.04% | -17.26% | — | — | -10.8% |
| Year to date | -1.64% | -27.77% | — | — | -10.8% |
| 1 year | +13.16% | -45.85% | 14.4% | 0.94 | -10.8% |
| Since inception (CAGR) | +19.39% | +39.55% | 15.5% | 1.22 | -22.4% |