Aperiodic · AF-MRX · FactsheetAs of Jul 24, 2026
AF-MRX
Enhanced Mean Reversion
mean_reversion_enhancedBasket-based mean reversion signal diversified across time frames and transformations with enhanced conditioning for robustness.
CAGR
+16.32%
Ann. vol
8.7%
Sharpe
1.77
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.
Signals
Reversal
Cross-sectional
Construction
Rank-weighted
Long / short
Risk
Vol-targeted
Inverse-vol scaled
Data
Point-in-time
Reproducible
Enhanced Mean Reversion
Performance & risk by period
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | +0.93% | +5.12% | — | — | -0.5% |
| 3 months | -1.05% | -17.26% | — | — | -3% |
| Year to date | -5.26% | -27.77% | — | — | -7.4% |
| 1 year | -13.13% | -45.85% | 9.7% | -1.38 | -15.5% |
| Since inception (CAGR) | +16.32% | +39.55% | 8.7% | 1.77 | -15.5% |