Price & Market BehaviorExtended setlive in productionNew

low-turnover factor-neutral residual momentum

Updated quarterlyData needs: mediumlong onlyshort onlylong short

paper

2011

Source

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

Citation only, paper link pending.

In plain terms

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

How it works

Trades the same idiosyncratic residual signal as factor_neutral_residual but SLOW: momentum only (no reversal), long signal windows, and quarterly/semi-annual holds, so far fewer trades let the edge survive transaction costs. The parent has a strong raw pooled Sharpe but fails the cost-stress gate due to turnover; this is the low-turnover variant. Reuses the parent's point-in-time residual computation verbatim.

Live results

32 times picked on its own · 62 times inside a blend (46 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 62 such blended picks (46 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)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

The factor-neutral residual momentum edge survives realistic trading costs once turnover is cut to quarterly/semi-annual holds.

Related families

factor-neutral idiosyncratic residualPrice & Market Behavior

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.

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 low-turnover factor-neutral residual momentum on alphactor.ai

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

Open universe with this filter →Browse all 571 families