In a previous post, I tested several simple short-term mean-reversion signals on liquid equity ETFs. The results showed attractive risk-adjusted returns, particularly during periods of high volatility.
This week, I extend that analysis and ask: Does the same type of short-term mean reversion work across asset classes?
Using intraday data for liquid ETFs covering equities, bonds, currencies, commodities, real estate, and Bitcoin, I test the same signal across markets.
The results reveal large differences across asset classes, and an interesting pattern in when those returns are earned.
