Filings, Insiders & OwnershipExtended setexperimental liveNew

index co-member relative-value reversion

Updated dailyData needs: highlong onlyshort onlylong short

In plain terms

When a stock drifts away from the other members of its index, it tends to drift back.

How it works

Trades the focal name's dislocation from a basket of fellow index constituents, removing the common index move and reverting the idiosyncratic residual. Same-index membership carries no information-diffusion lead-lag basis, so this is an exploratory cross-sectional reversion lane.

Live results

0 times picked on its own · 256 times inside a blend (241 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 256 such blended picks (241 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

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

Expected edge

Idiosyncratic mean-reversion of an index constituent toward its co-members net of the shared index factor; exploratory pooled-served lane.

Related families

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index co-member reversal spilloverFilings, Insiders & Ownership

Tests whether a stock snaps back when the other members of its index overreact.

TNIC peer relative-value reversionFilings, Insiders & Ownership

When a company drifts away from its closest product-market rivals, it tends to drift back.

Explore index co-member relative-value reversion on alphactor.ai

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