LIQ002Factor HubLiquidity FactorsLow
Dollar Volume Factor
Average daily dollars traded — the most direct friction gauge.
Formula
Score = log(avg_amount_20d)Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
15.45%
Sharpe ratio
0.90
Max drawdown
-22.55%
Total return
320.69%
Cumulative performance（2016-09 … 2026-08）
2016 -5.9%2017 -4.2%2018 +4.7%2019 +21.9%2020 +44.5%2021 +21.4%2022 +38.4%2023 +9.1%2024 +8.8%2025 +9.3%2026 +16.2%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | SOFI | SoFi Technologies | 24.817 |
| 2 | AAPL | Apple | 24.354 |
| 3 | DASH | DoorDash | 24.111 |
| 4 | PLTR | Palantir | 23.971 |
| 5 | NKE | Nike | 23.958 |
| 6 | TSLA | Tesla | 23.920 |
| 7 | MCHP | Microchip Technology | 23.691 |
| 8 | SLB | SLB | 23.631 |
| 9 | RTX | RTX Corp | 23.609 |
| 10 | WFC | Wells Fargo | 23.529 |
| 11 | CVX | Chevron | 23.317 |
| 12 | PLD | Prologis | 23.269 |
| 13 | ORLY | O'Reilly Automotive | 23.149 |
| 14 | BAC | Bank of America | 23.113 |
| 15 | LOW | Lowe's | 23.094 |
| 16 | BHP | BHP | 23.052 |
| 17 | JPM | JPMorgan Chase | 22.878 |
| 18 | PYPL | PayPal | 22.836 |
| 19 | KO | Coca-Cola | 22.785 |
| 20 | NFLX | Netflix | 22.773 |
| 21 | NET | Cloudflare | 22.478 |
| 22 | PEP | PepsiCo | 22.417 |
| 23 | INTU | Intuit | 22.306 |
| 24 | FE | FirstEnergy | 22.243 |
| 25 | OKE | ONEOK | 22.220 |
| 26 | AMZN | Amazon | 22.211 |
| 27 | WMT | Walmart | 22.077 |
| 28 | NVDA | NVIDIA | 22.055 |
| 29 | TFC | Truist Financial | 22.052 |
| 30 | BMY | Bristol-Myers Squibb | 21.959 |
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.