Idiosyncratic Momentum

Manage
1

Good afternoon,

Anybody out there using idiosyncratic momentum formulas in your ranking systems? I don’t believe Port123 has an available stock forumula to perform this calc. The only way I can get closer is by using relative momentum within industry which seems to be better than using total return or pure price change.

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2947044

https://www.cxoadvisory.com/momentum-investing/idiosyncratic-pure-or-residual-momentum-as-a-stock-return-predictor/

2

I’ve asked for fama french factors in P123 for years. +1!

3

How would you calculate this?
12-1 return for security - beta*benchmark return?

4

For the 12-1 you could use some variant of the TotalReturn function or even just use Pr52W%Chg if you are working with yearly returns.
Or, I would likely use the closing prices so I can change the return period easily

So,
((close(0)-close(253)/close(253))-(Beta5Y*((BenchClose(0)-BenchClose(253))/BenchClose(253))

There is BetaFunc where you can plug in time frame, etc. There are some shortcuts to my long version math, but it helps me to keep better track this way.

Check out the function reference here: [url=https://www.portfolio123.com/doc/doc_factors.jsp]https://www.portfolio123.com/doc/doc_factors.jsp[/url]