Price & Market BehaviorCore researchlive in productionNew

Residual Momentum

Updated dailyData needs: lowlong onlyshort onlylong short

paper

2011

Source

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

Read the paper →

In plain terms

Remove market beta; leftover idiosyncratic momentum is cleaner.

How it works

Strip out SPY-beta (60d rolling regression) and rank by trailing 10-12mo residual return sum. Cleaner than raw momentum.

Live results

84 times picked on its own · 125 times inside a blend (91 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 125 such blended picks (91 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.
Spy prices
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: Sharpe 1.79 vs raw-mom 1.05
Reported Sharpe: 1.79
Tested over: 1930-2009 global

Blitz-Huij-Martens 2011: Sharpe 1.79 vs raw-momentum 1.05.

Example tickers where this is likely to fire

NVDA META AMZN AAPL TSLA

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Idiosyncratic MomentumPrice & Market Behavior

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

Cross Sectional MomentumPrice & Market Behavior

Compare the stock to its sector peers on 12-month return (excluding last month). If it's in the top third of peers, go long.

52-Week-High MomentumPrice & Market Behavior

Stocks within 5% of their 52-week high tend to keep going (anchoring effect). Conversely, stocks at very deep drawdowns (-40%+) often bounce.

Explore Residual Momentum on alphactor.ai

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