Price & Market BehaviorCore researchlive in production

Idiosyncratic Momentum

Updated dailyData needs: medium

In plain terms

Strip out market and sector moves, then bet on the residual trend — what the stock did beyond what its peers did.

How it works

Strip out market and factor beta from stock returns via rolling OLS on Fama-French 3-factor returns (Mkt-Rf, SMB, HML), then rank by the trailing residual return — what the stock did beyond what its peers did. Position long when residual is positive; estimation windows 60d and 126d swept to find the cleanest version.

Live results

86 times picked on its own · 214 times inside a blend (152 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 214 such blended picks (152 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.
Ff factors
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

See the source research for the original effect size; a modern replication on new data may be weaker.

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