COM005Factor HubComposite FactorsMedium
Momentum-Value Composite Factor
Momentum confirmation inside the value universe dodges value traps.
Formula
MV = Z(动量得分) + Z(EP) + Z(BP)Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
5.36%
Sharpe ratio
0.38
Max drawdown
-28.57%
Total return
68.56%
Cumulative performance（2016-09 … 2026-08）
2016 -10.5%2017 -8.3%2018 -6.2%2019 +27.9%2020 +28.6%2021 +3.4%2022 +24.8%2023 -15.7%2024 +12.2%2025 +0.7%2026 +8.3%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | AEP | American Electric Power | 11.431 |
| 2 | TER | Teradyne | 11.304 |
| 3 | CDNS | Cadence | 5.246 |
| 4 | DELL | Dell Technologies | 5.015 |
| 5 | TGT | Target | 4.810 |
| 6 | PPG | PPG Industries | 4.584 |
| 7 | SMCI | Super Micro Computer | 4.016 |
| 8 | PLD | Prologis | 3.858 |
| 9 | PCAR | Paccar | 3.569 |
| 10 | ZS | Zscaler | 3.247 |
| 11 | USB | U.S. Bancorp | 3.084 |
| 12 | WMB | Williams Companies | 2.982 |
| 13 | F | Ford Motor | 2.778 |
| 14 | CL | Colgate-Palmolive | 2.685 |
| 15 | LEN | Lennar | 2.614 |
| 16 | LII | Lennox International | 2.597 |
| 17 | PSA | Public Storage | 2.370 |
| 18 | EIX | Edison International | 2.308 |
| 19 | DVN | Devon Energy | 2.273 |
| 20 | CE | Celanese | 2.257 |
| 21 | GM | General Motors | 2.229 |
| 22 | FCX | Freeport-McMoRan | 2.183 |
| 23 | KLAC | KLA | 2.153 |
| 24 | TPL | Texas Pacific Land | 2.054 |
| 25 | DD | DuPont | 1.966 |
| 26 | EXC | Exelon | 1.876 |
| 27 | CVS | CVS Health | 1.835 |
| 28 | EL | Estee Lauder | 1.824 |
| 29 | PEP | PepsiCo | 1.806 |
| 30 | RIO | Rio Tinto | 1.755 |
Holdings computed by the exact formula above at the latest month-end observation on the deterministic research panel (2026-08).
Data export
Exports include formulas, performance statistics, the 120-month series and current holdings — everything needed to replicate results locally.
Related factors
COM001Value-Quality Composite Factor
Score = 0.5*(-PE/100) + 0.5*(ROE*10)
COM002Low-Vol Dividend Composite Factor
Score = DividendYield / AnnualizedVol
COM003Multi-Factor Alpha Factor
Alpha = ML_Model(基本面因子, 技术因子, 情绪因子)
COM004Quality-Growth Composite Factor
QG = Z(ROE) + Z(ROE变化) + Z(营收增速) + Z(毛利率)
COM006GARP Factor
GARP = Z(盈利增速) - Z(PE) + Z(ROE稳定性)