MOM012Factor HubMomentum FactorsMedium
Residual Momentum Factor
Momentum in regression residuals — trend with the market component removed.
Formula
ResMom = Σ(ε_t), ε = R - β*F, t=1..12MPerformance (Top-30 equal-weight long, monthly rebalance)
Annualized return
20.50%
Sharpe ratio
1.19
Max drawdown
-20.41%
Total return
545.65%
Cumulative performance（2016-09 … 2026-08）
2016 +0.0%2017 -4.8%2018 -1.5%2019 +22.7%2020 +60.7%2021 +22.8%2022 +49.3%2023 +1.8%2024 +21.6%2025 +27.8%2026 +20.4%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | PLD | Prologis | 1.389 |
| 2 | CARR | Carrier Global | 1.032 |
| 3 | DLR | Digital Realty | 0.949 |
| 4 | LNG | Cheniere Energy | 0.869 |
| 5 | SPG | Simon Property Group | 0.867 |
| 6 | GILD | Gilead Sciences | 0.863 |
| 7 | GME | GameStop | 0.858 |
| 8 | VALE | Vale | 0.853 |
| 9 | ROKU | Roku | 0.821 |
| 10 | PEG | Public Service Enterprise | 0.796 |
| 11 | KMB | Kimberly-Clark | 0.705 |
| 12 | ADP | ADP | 0.696 |
| 13 | CDNS | Cadence | 0.683 |
| 14 | FTNT | Fortinet | 0.650 |
| 15 | DD | DuPont | 0.648 |
| 16 | D | Dominion Energy | 0.618 |
| 17 | DDOG | Datadog | 0.613 |
| 18 | SOFI | SoFi Technologies | 0.605 |
| 19 | PRU | Prudential Financial | 0.586 |
| 20 | SLB | SLB | 0.583 |
| 21 | ACN | Accenture | 0.544 |
| 22 | PFE | Pfizer | 0.533 |
| 23 | ALL | Allstate | 0.527 |
| 24 | MET | MetLife | 0.520 |
| 25 | DAL | Delta Air Lines | 0.514 |
| 26 | CI | Cigna | 0.496 |
| 27 | LULU | Lululemon Athletica | 0.491 |
| 28 | TFC | Truist Financial | 0.469 |
| 29 | RIO | Rio Tinto | 0.457 |
| 30 | CCI | Crown Castle | 0.446 |
Holdings computed by the exact formula above at the latest month-end observation on the deterministic research panel (2026-08).
Data export
Exports include formulas, performance statistics, the 120-month series and current holdings — everything needed to replicate results locally.