Residual Momentum

Stocks with the strongest positive and negative residual (idiosyncratic) momentum after stripping factor exposure.

Residual = actual return minus the return predicted by a rolling Lasso, ranked for Common Stocks in the Base + Sector model. The composite score blends cumulative residuals over 21d / 63d / 126d / 252d (weighted toward 6 months). After market-cap and sector filters, the top decile is the long side and the bottom decile is the short side.