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Sample Mean Reversion Algorithm performance since March 2020
kevin p
edited

I've been playing around with the Sample Mean Reversion Algorithm and noticed that when I run it through 2019 to around March 2020 the returns are less than S&P 500 but starting around March until currently the returns are much greater.

When I run the tear sheet it shows that most of the returns up until around March was price reversion but in March most of the returns came from value. How is this information calculated? Is it assumed to be value because the valuation ratios are lower in March thru present versus previously?

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