COM003Factor HubComposite FactorsMedium

Multi-Factor Alpha Factor

A machine-learning blend of fundamental, technical and sentiment signals.

Formula

Alpha = ML_Model(基本面因子, 技术因子, 情绪因子)

Annualized return

10.46%

Sharpe ratio

0.71

Max drawdown

-15.77%

Total return

170.46%

Cumulative performance（2016-09 … 2026-08）

2016 -7.2%2017 +8.1%2018 -9.4%2019 +16.6%2020 +36.5%2021 +12.4%2022 +26.1%2023 -7.2%2024 +6.8%2025 +11.7%2026 +19.1%

#	Ticker	Company	Score
1	DELL	Dell Technologies	0.948
2	CARR	Carrier Global	0.796
3	FCX	Freeport-McMoRan	0.741
4	CDNS	Cadence	0.731
5	PLD	Prologis	0.670
6	CL	Colgate-Palmolive	0.658
7	FTV	Fortive	0.537
8	ROKU	Roku	0.490
9	PPG	PPG Industries	0.480
10	DD	DuPont	0.479
11	GME	GameStop	0.478
12	F	Ford Motor	0.465
13	TRV	Travelers	0.446
14	GIS	General Mills	0.444
15	PM	Philip Morris	0.437
16	LNG	Cheniere Energy	0.422
17	CVX	Chevron	0.419
18	D	Dominion Energy	0.392
19	SYK	Stryker	0.378
20	KMB	Kimberly-Clark	0.374
21	LMT	Lockheed Martin	0.374
22	T	AT&T	0.372
23	PEP	PepsiCo	0.368
24	GILD	Gilead Sciences	0.366
25	HSY	Hershey	0.362
26	RIO	Rio Tinto	0.355
27	TGT	Target	0.351
28	AEP	American Electric Power	0.349
29	SLB	SLB	0.347
30	MDT	Medtronic	0.343

Holdings computed by the exact formula above at the latest month-end observation on the deterministic research panel (2026-08).

Exports include formulas, performance statistics, the 120-month series and current holdings — everything needed to replicate results locally.