Price & Market BehaviorExtended setlive in productionNew

cross-sectional small-cap multifactor blend

Updated dailyData needs: lowlong onlylong short

In plain terms

Favor stocks that are both strong performers and low-volatility, combining two complementary ways of picking winners to smooth out the ride.

How it works

Blends the two least-correlated price factors: 12-1 momentum (Jegadeesh-Titman 1993) and low realized volatility (Haugen-Heins 1975 / Frazzini-Pedersen 2014), plus optionally 52-week-high proximity and Amihud illiquidity. Classic diversification theory: combining orthogonal positive-edge factors raises the blended Sharpe. Composite is oriented so high = winner and low-vol.

Live results

0 times picked on its own · 34 times inside a blend (15 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 34 such blended picks (15 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Xsec reversal rank
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Blending orthogonal price factors (momentum + low volatility) yields a higher combined Sharpe than any single dense cross-sectional factor on small caps.

Related families

cross-sectional small-cap momentumPrice & Market Behavior

Buy the stocks that have been the strongest performers over the past year and (optionally) short the weakest, picked relative to all other stocks.

cross-sectional small-cap short-term reversalPrice & Market Behavior

Buy stocks that just underperformed everything else, betting they snap back over the next few days to weeks.

Explore cross-sectional small-cap multifactor blend on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

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