Daily residuals
Hornli Specific Return (HSR) isolates idiosyncratic moves by regressing every security in our universe (Russell 3000) against curated
style, industry and Country factors. The residual of that cross-sectional fit is the specific return we distribute each
trading day.
We snapshot the dataset after the close, with delivery typically available by 06:30 ET on the
following morning. Each file contains Ticker, the residual in percent return terms.
- Universe: Russell 3000 constituents updated quarterly.
- History: 2016 to present.
- Units: Decimal daily returns (e.g., 0.0123 = 123 bps specific move).
- Latency: New data posted before the U.S. cash open each trading day.
How we deliver data
You can get Hornli Specific Returns in the following 3 ways. Choose the best fit for your needs.
- Quick Start: Get a sample download with recent history.
- Want full history? Try API guide.
- Build it yourself: Reproduce the build locally by following open-source notebook.
Need an additional universe cut or bespoke schedule? Reach out through the
Hornli contact form so we can extend the runbook without breaking reproducibility.
Where specific returns fit in your workflow
Portfolio managers use specific returns to benchmark discretionary ideas, quantify manager skill, and power
cross-sectional alpha models. Because the data is factor-neutral by construction, it lets you distinguish true stock
selection from common risk drift.
- Plug daily residuals into your attribution stack to explain outperformance against style tilts.
- Backtest your strategy by pairing residuals with the factor covariance matrix.
If you are new to factor risk models, the methodology deep dive and
risk model FAQ walk through every design choice behind the residual series.