COM007Factor HubComposite FactorsLow

Smart Beta Factor

Risk-parity weighting across value, quality, momentum and low vol.

Formula

SB = RiskParity(价值, 质量, 动量, 低波动)

Annualized return

7.84%

Sharpe ratio

0.55

Max drawdown

-25.94%

Total return

112.68%

Cumulative performance（2016-09 … 2026-08）

2016 -2.2%2017 -9.3%2018 -8.5%2019 +2.2%2020 +44.7%2021 +6.6%2022 +27.3%2023 -8.1%2024 +5.7%2025 +12.3%2026 +19.7%

#	Ticker	Company	Score
1	CDNS	Cadence	1.444
2	PLD	Prologis	1.205
3	PPG	PPG Industries	0.889
4	KMB	Kimberly-Clark	0.862
5	CARR	Carrier Global	0.781
6	CL	Colgate-Palmolive	0.756
7	YUM	Yum Brands	0.736
8	LMT	Lockheed Martin	0.732
9	CI	Cigna	0.722
10	ROKU	Roku	0.714
11	DAL	Delta Air Lines	0.712
12	AZO	AutoZone	0.662
13	GME	GameStop	0.653
14	VZ	Verizon	0.653
15	FTNT	Fortinet	0.607
16	TRV	Travelers	0.601
17	F	Ford Motor	0.595
18	RIO	Rio Tinto	0.593
19	DD	DuPont	0.590
20	GIS	General Mills	0.590
21	SLB	SLB	0.590
22	GILD	Gilead Sciences	0.588
23	LNG	Cheniere Energy	0.570
24	ON	ON Semiconductor	0.566
25	KVUE	Kenvue	0.543
26	PEG	Public Service Enterprise	0.541
27	NKE	Nike	0.512
28	T	AT&T	0.493
29	TXN	Texas Instruments	0.492
30	NOC	Northrop Grumman	0.492

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.