COM013Factor HubComposite FactorsMedium

All-Weather Composite Factor

Adaptive weights shift toward momentum in bulls and quality in bears.

Formula

AllWeather = Σ(w_i(regime) * Factor_i)

Annualized return

8.80%

Sharpe ratio

0.57

Max drawdown

-28.68%

Total return

132.42%

Cumulative performance（2016-09 … 2026-08）

2016 -4.4%2017 -12.5%2018 -5.1%2019 +13.3%2020 +55.0%2021 +4.9%2022 +39.8%2023 -11.7%2024 +1.4%2025 +11.8%2026 +13.6%

#	Ticker	Company	Score
1	PLD	Prologis	1.965
2	CDNS	Cadence	1.756
3	PPG	PPG Industries	1.265
4	GME	GameStop	1.028
5	KMB	Kimberly-Clark	1.028
6	CARR	Carrier Global	1.012
7	DD	DuPont	0.979
8	CI	Cigna	0.973
9	RIO	Rio Tinto	0.929
10	GIS	General Mills	0.929
11	TRV	Travelers	0.904
12	ROKU	Roku	0.885
13	LMT	Lockheed Martin	0.844
14	SLB	SLB	0.837
15	LNG	Cheniere Energy	0.837
16	PEG	Public Service Enterprise	0.810
17	GILD	Gilead Sciences	0.764
18	VZ	Verizon	0.749
19	CL	Colgate-Palmolive	0.748
20	PFE	Pfizer	0.742
21	YUM	Yum Brands	0.708
22	DAL	Delta Air Lines	0.706
23	NKE	Nike	0.705
24	ISRG	Intuitive Surgical	0.694
25	TGT	Target	0.672
26	USB	U.S. Bancorp	0.656
27	CCI	Crown Castle	0.649
28	FTNT	Fortinet	0.635
29	ON	ON Semiconductor	0.629
30	AZO	AutoZone	0.605

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.