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Next filing · Form 10-Q · Q2 2026 · 54 daysFactor Research · Part 2 published: risk structure in 13F filings across five allocator stylesAPI Update · AOM portfolio chains — single snapshot call for multi-step analyze flowsAPI Update · POST /api/snapshot — canonical JSON portfolio snapshotPart 3 · The One Manager Skill That PersistsPart 1 · One Position, Four BetsNext filing · Form 10-Q · Q2 2026 · 54 daysFactor Research · Part 2 published: risk structure in 13F filings across five allocator stylesAPI Update · AOM portfolio chains — single snapshot call for multi-step analyze flowsAPI Update · POST /api/snapshot — canonical JSON portfolio snapshotPart 3 · The One Manager Skill That PersistsPart 1 · One Position, Four Bets
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Concept · The RiskModels engine (ERM3)

Residual mean-reversion signal

A 5-day cumulative L3 residual return, z-scored by the stock's own 60-day residual volatility. A combo-input factor for multi-signal stacks, not a standalone strategy.

In depth

A 5-day cumulative L3 residual return, z-scored by the stock's own 60-day residual volatility. A combo-input building block for multi-signal alpha stacks — capacity caps below ~$1M of book, so not a standalone strategy.

Formula

z = cum₅(ε_L3) / σ₆₀(ε_L3)

In the methodology

Residual mean-reversion signal →

Referenced by (0)

No working paper references this concept yet.

Related concepts

ERM3Hierarchical cascade (L1/L2/L3)Link beta (λ)Explained risk (ER)Replication equationRobust beta (Huber-M)Vasicek shrinkageL-star ruleGeometric attribution bridge
← Geometric attribution bridgeThe RiskModels engine (ERM3) · 10 / 10ERM3 →
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