Task: Residual Momentum vs. Raw Momentum
Task: Residual Momentum vs. Raw Momentum: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). An asset-pricing researcher is investigating whether residual momentum — momentum measured after orthogonalizing past returns against common factor exposures…
The task
An asset-pricing researcher is investigating whether residual momentum — momentum measured after orthogonalizing past returns against common factor exposures (Blitz–Huij–Martens 2011, Gutierrez–Prinsky 2007) — has more cross-sectional predictive power for next-month returns than the raw 12-1 and 6-1 momentum signals.…
Part of codeslord/skilltrainbench-public.