Live Test of the Short-term Reversal Effect

“Compendium of Live ETF Factor/Niche Premium Capture Tests” summarizes results for its eponymous title. Here we add a live test of the short-term reversal effect among U.S. stocks. Specifically, we examine the performance of Vesper U.S. Large Cap Short-Term Reversal Strategy ETF (UTRN), designed to track the performance of a portfolio of 25 of the 500 largest U.S.-listed stocks most likely benefit from the short-term reversal effect. We use SPDR S&P 500 ETF Trust (SPY) as the benchmark. We focus on monthly return statistics, along with compound annual growth rates (CAGR) and maximum drawdowns (MaxDD). Using monthly total returns for UTRN and SPY during September 2018 (UTRN inception) through February 2025, we find that:

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