Any issue with execution quality would really hurt profitability, however. The yearly average rate of return is noted as about 25%. If there's a 0.1% slippage

Any issue with execution quality would really hurt profitability, however. The yearly average rate of return is noted as about 25%. If there's a 0.1% slippage on the buy and sell sides, over a year's worth of trades that profit is gone. And I'm not worried about "getting blown up" by a rise in volatility (although since this is fundamentally a short position it would be blown up by a theoretical 100% rise in a sector ETF), but I'm more interested in the risk-adjusted return or Sharpe ratio. Since individual sectors are less diverse than the market as a whole, and since this strategy invests (shorts) one sector at a time, I would expect it to see greater day-to-day variability even before the reversion to mean comes into play. I'm curious about how much greater.