T, while not necessarily a direct answer to your question, I just wanted to offer a word of caution in applying a mean reversion model to security or fund returns.
In attempting to fit a mean reversion model to returns, you are implicitly stating that you believe that historical returns are good predictors of future returns. Although I don't know what your dataset is, this is generally not the case.
More likely to be mean reverting are the fundamentals underlying these returns. Using a financial markets example this might be something like multiples (P/E or EV/EBITDA).
But if you still wanted to run such a mean reversion analysis, I would recommend starting with a regression with a format similar to the following: use as your independent (x) variable the returns from period t and as your dependent (y) variable the returns from period t+1. If there is mean reversion you should see a negative resulting coefficient, although you should also check the fit of your result as well -- in keeping with my comments above, I would expect the fit to be poor, even if your coefficient is negative.
Hope this helps!