Residual momentum

Previous research on residual momentum indicated that it performs well compared to total momentum strategies as well as during market turmoil. This paper analyzed the performance of a residual momentum strategy based on two different factor models and multiple weighting schemes. Evidence is found of a volatility weighted residual momentum strategy outperforming the S&P 500 Index over a time span of 20 years and generating a statistically significant alpha. It failed, however, to outperform the S&P 500 Index in the out-of-sample period that ranges from 2011 to .2021 and thus opens the door to further enhance the signal