{"id":2063301,"date":"2017-04-10T13:15:35","date_gmt":"2017-04-10T07:45:35","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2063301"},"modified":"2017-04-10T13:15:35","modified_gmt":"2017-04-10T07:45:35","slug":"residual-momentum","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2017\/04\/10\/residual-momentum\/","title":{"rendered":"Residual Momentum"},"content":{"rendered":"<p>The conventional way of implementing momentum strategies rank either relative or absolute time series returns of a universe of stocks. If either market beta, value or the small-cap premium had a big hand in driving equity returns during the formation period, then the momentum portfolio will be overweight those factors. This leads to steep momentum crashes, or so the theory goes. <\/p>\n<p>In their paper on <a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2319861\" target=\"_blank\">Residual Momentum<\/a>, Blitz, Huij and Martens propose ranking stocks based on the residuals obtained after fitting their return series to the Fama-French Three factor model. They argue that a portfolio created this way outperforms vanilla momentum strategies.<\/p>\n<p>We have created an automated residual momentum strategy, <a href=\"https:\/\/stockviz.biz\/theme-eq\/ada3f150-54ab-40f8-bf08-23d34f83ee96\" target=\"_blank\">Momo (Residual) v1.0<\/a>, that implements the residual momentum strategy outlined in the paper.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>The conventional way of implementing momentum strategies rank either relative or absolute time series returns of a universe of stocks. If either market beta, value or the small-cap premium had a big hand in driving equity returns during the formation period, then the momentum portfolio will be overweight those factors. This leads to steep momentum &hellip; <\/p>\n","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471,9],"tags":[3491,2761],"class_list":["post-2063301","post","type-post","status-publish","format-standard","hentry","category-investing-insight","category-your-money","tag-momentum","tag-quant","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2063301","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2063301"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2063301\/revisions"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2063301"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2063301"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2063301"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}