Short-Term Mean Reversion vs Cross-Sectional Momentum
Two published track records side by side — same data, same methodology, zero verdicts.
Short-Term Mean Reversion
coreBuys the biggest one-week losers in the universe, equally weighted, on the documented short-term reversal effect. A diversifier (it leans opposite to momentum), not an edge — it can lag buy-and-hold, especially in trending markets.
Full track record →
Cross-Sectional Momentum
coreHolds the strongest-trending names (12-month return, skipping the last month), equally weighted, refreshed monthly.
Full track record →
The numbers, side by side
| Short-Term Mean Reversion | Cross-Sectional Momentum | |
|---|---|---|
| CAGR | 19.8% | 13.5% |
| Volatility (ann.) | 33.7% | 42.1% |
| Sharpe | 0.60 | 0.43 |
| Sortino | 0.91 | 0.62 |
| Max drawdown | -45.6% | -65.0% |
| Calmar | 0.43 | 0.21 |
| Simulated since | 2020-09 | 2021-10 |
Simulated backtests (up to 6 years of point-in-time data, costs included) — not live results. Methodology: here. Past performance does not predict future results.
What the data says
- Short-Term Mean Reversion posted the higher CAGR (19.8% vs 13.5%).
- Short-Term Mean Reversion fell less at its worst (-45.6% vs -65.0%).
- Short-Term Mean Reversion had the calmer ride (volatility 33.7% vs 42.1%).
These are facts from the published snapshots, not a recommendation — the rules differ in their risk profile. Overlay both equity curves in the interactive comparison tool.