Price & Market BehaviorExtended setlive in productionNew

factor-neutral idiosyncratic residual

Updated dailyData needs: mediumlong onlyshort onlylong short

2011

Blitz, D., Huij, J., & Martens, M. (2011). Residual Momentum. Journal of Empirical Finance, 18(3), 506-521.

In plain terms

Filter out the parts of a stock's move driven by the market and big macro themes, then trade only on what is left that is unique to that company.

How it works

Strips a ticker's market beta and each significant macro/thematic factor exposure (crypto/oil/rates/USD/gold/vol, via market-orthogonalized ETF proxies BITO/USO/TLT/UUP/GLD/VXX) to isolate the idiosyncratic return residual, then trades momentum and short-horizon reversal on that residual. Removing factor noise sharpens the stock-specific signal (residual momentum); short-horizon residual reversal is the idiosyncratic-overreaction counterpart. Hedge betas are PIT expanding/rolling estimates and factor selection uses the training window only.

Live results

439 times picked on its own · 657 times inside a blend (625 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 657 such blended picks (625 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.

Expected edge

After removing market and macro-factor exposure, the remaining stock-specific residual carries a cleaner momentum/reversal signal than the raw return.

Related families

low-turnover factor-neutral residual momentumPrice & Market Behavior

The same trade-on-the-stock's-unique-move idea, but holding positions for months so trading costs don't eat the profit.

macro factor-shock propagationEconomy & Policy

When a big theme like oil or crypto suddenly moves, ride the stocks that are truly tied to that theme in the direction of their link to it.

Explore factor-neutral idiosyncratic residual on alphactor.ai

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

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