Residual Volatility factor
A 50/50 blend of 20-day realized volatility and an exponentially weighted 126-day volatility of returns after removing the market-beta component. Part of FactorPulse's FPUS1 model (Style).
The exposure shown is this measure standardized across stocks and taken net of the market and of International, Beta, Size and Long-Term Momentum (position 5 of 18 style factors).
Last 12 months
Full history
History before Jul 15, 2026 is simulated: it was regenerated on that date with the methodology adopted then, not recorded live, and charts shade that period. Later changes apply from their dates forward; see the revision log. Point-in-time risk forecasts begin Jul 30, 2026.
Statistics
| Period | Return | Volatility (ann.) | Return / risk | Max drawdown |
|---|---|---|---|---|
| 1M | +0.51% | 6.7% | +0.92 | -1.66% |
| 3M | +4.17% | 6.3% | +2.64 | -1.66% |
| YTD | +4.34% | 7.8% | +0.68 | -8.06% |
| 1Y | +0.66% | 7.5% | +0.09 | -8.06% |
| Since Jul 2026 (live) | +3.45% | 6.7% | +1.74 | -1.87% |
| Since 2020 (incl. simulated) | +8.26% | 7.9% | +0.15 | -28.47% |
Returns are summed daily long/short factor returns before costs. Volatility and return/risk are annualized from daily data. Each factor is measured net of other factors (see above), so its return can differ from familiar indexes built on the same idea. Section 9 of the methodology (Empirical Factor Behavior) discusses each factor's realized return.
Large companies most and least exposed today
Among the 500 largest US-listed companies (market cap above $26B). Exposure is in standard deviations across about 2,000 stocks, net of the factors ranked ahead of it. When the factor return is positive, high volatility outperforms; when it is negative, low volatility outperforms. Exposures are capped; where 2 share the cap of +5.00, they are ranked by uncapped exposure.
Highest exposure
- Bending Spoons S.p.A. BSP +5.00 · $30B
- Banco Bradesco S.A. BBD +5.00 · $31B
- Itau Unibanco Holding S.A. ITUB +3.71 · $82B
- Accenture PLC ACN +3.70 · $149B
- Moderna, Inc. MRNA +2.92 · $86B
- Petroleo Brasileiro S.A.-Petrobras Ads PBR +2.84 · $142B
- Nu Holdings Ltd. NU +2.81 · $58B
- Genmab A/S ADS GMAB +2.80 · $35B
- Venture Global, Inc. VG +2.77 · $36B
- SK hynix Inc. SKHY +2.76 · $1.2T
Lowest exposure
- State Street Corporation STT -1.64 · $47B
- KB Financial Group Inc KB -1.60 · $40B
- Dover Corporation DOV -1.60 · $28B
- Northern Trust Corp NTRS -1.57 · $31B
- Teledyne Technologies Incorporated TDY -1.55 · $31B
- Huntington Bancshares Inc HBAN -1.53 · $32B
- Bank of Montreal BMO -1.51 · $121B
- Goldman Sachs Group Inc. GS -1.48 · $269B
- UBS Group AG UBS -1.47 · $141B
- Citizens Financial Group, Inc. CFG -1.47 · $27B
What it moves with
Most positively correlated factors (1 year)
- Liquidity +0.58
- Oil +0.55
- Bitcoin / Crypto +0.51
Most negatively correlated factors
- Value -0.43
- Leverage -0.38
- Profitability -0.37
Correlation with ETFs
| ETF | 1 year | 3 months |
|---|---|---|
| SPY S&P 500 | +0.20 | +0.39 |
| IWM Small caps | +0.14 | +0.37 |
| TLT Long Treasuries | -0.09 | +0.07 |
| USO Oil | +0.24 | -0.10 |
| SMH Semiconductors | +0.17 | +0.21 |
| GLD Gold | +0.14 | +0.07 |
| XLU Utilities | -0.28 | -0.25 |
| BITO Bitcoin futures | +0.31 | +0.32 |
| KWEB China internet | +0.17 | +0.23 |