US Equity Mean Reversion
Quantitative U.S. equity mean reversion model using 20+ proprietary signals to generate systematic long/short exposures and exploit short term reversals. A great diversifier to an equity heavy book or a strong addition to a Multi Strat
Fund Facts
From 10/20 to Current. Allocations Updated on Fridays
9.63%
An Return
14.41%
Volatility
-9.89%
Drawdown
0.83
Sharpe
41.90%
Corr to S&P
2.33
Sortino
4.71
Skew
187
Holdings
US Equity Mean Reversion
Growth of $100,000 Investment
Historical Performance
Caltropia
Annual Returns
Caltropia
Monthly Returns
How to Trade
Long/Short
Postion
Weekly
Trade Freq
1-3x
Leverage
Equity
Asset Type
Weekly
Rebalance
Investment Approach
We apply 20+ proprietary mean reversion signals to build a systematic long/short U.S. equity portfolio designed to exploit short term mispricings and deliver consistent returns. While also allowing you to buy dips and sell rips on individual equities.
Why Invest In Caltropia's Mean Reversion Equity Strategy
1. Low Correlation to Market
Mean reversion strategies generat returns from relative price movements rather than broad market trends, this provides diversification during both bull and bear markets
2. Exploit Inefficiencies
The approach systematically capitalizes on overreactions driven by investor sentiment, liquidity pressures, etc, inefficiencies that have been documented and persistent across decades of market data
3. Data Driven and Systematic
Using 20+ proprietary signals, the strategy applies a consistent, rules based process that removes emotion and bias from investment decisions, ensuring repeatability and transparency
4. Controlled Risk and Efficiency
Strict position sizing, and weekly rebalancing help limit drawdowns and maintain stable volatility, targeting steady, uncorrelated alpha with efficient capital use