residual momentum
What it checks
Remove market beta; leftover idiosyncratic momentum is cleaner.
Mechanism
Strip out SPY-beta (60d rolling regression) and rank by trailing 10-12mo residual return sum. Cleaner than raw momentum.
Signal rule
residual_t = stock_ret - beta*spy_ret; long top tercile / short bottom of 10-12m residual sum; hold 30/60d
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
spy_pricesWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- Sharpe 1.79 vs raw-mom 1.05
- Paper Sharpe
- 1.79
- Paper window
- 1930-2009 global
Blitz-Huij-Martens 2011: Sharpe 1.79 vs raw-momentum 1.05.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
idiosyncratic momentumMomentumStrip 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.
cross sectional momentumMomentumCross-sectional momentum (Jegadeesh-Titman 1993): rank stocks vs peers on trailing 12m return excluding the most-recent month, long the top tercile. The single-ticker analog compares the stock to its sector ETF — without explicit peer-by-peer ranks we use the stock-minus-sector residual return as a proxy. Sweep formation periods (126/252d) and skip windows (0 vs 21d) for the Jegadeesh-Titman convention.
high 52w momentumMomentumGeorge & Hwang (2004) and Geczy & Samonov (2015) show proximity to the 52-week high is a stronger predictor of next-month returns than raw 6-month momentum. Stocks within 5% of their 52-week high earn ~0.45%/month more than the market. Three variants: proximity LONG (≥95% of 52w high, 4-12w hold), deep-drawdown bounce LONG (≤60% of 52w high AND positive 5d return), broken-down SHORT (was within 5% of 52w high in the last 60d but now <80%).
Explore residual momentum on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.