LIQ005Factor HubLiquidity FactorsLow
Float Ratio Factor
A high free-float share implies deeper trading and better price discovery.
Formula
流通比例 = 自由流通股本 / 总股本Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
11.33%
Sharpe ratio
0.64
Max drawdown
-41.64%
Total return
192.50%
Cumulative performance（2016-09 … 2026-08）
2016 -7.8%2017 -16.9%2018 -16.5%2019 +28.1%2020 +61.7%2021 +13.8%2022 +50.2%2023 -12.0%2024 +17.3%2025 +7.3%2026 +16.6%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | SRE | Sempra | 0.958 |
| 2 | D | Dominion Energy | 0.958 |
| 3 | ROST | Ross Stores | 0.958 |
| 4 | ZTS | Zoetis | 0.958 |
| 5 | ADP | ADP | 0.957 |
| 6 | MMM | 3M | 0.934 |
| 7 | LMT | Lockheed Martin | 0.934 |
| 8 | MS | Morgan Stanley | 0.933 |
| 9 | VLO | Valero Energy | 0.933 |
| 10 | SBAC | SBA Communications | 0.932 |
| 11 | NOW | ServiceNow | 0.932 |
| 12 | FDX | FedEx | 0.922 |
| 13 | AMD | Advanced Micro Devices | 0.920 |
| 14 | DDOG | Datadog | 0.920 |
| 15 | CMCSA | Comcast | 0.920 |
| 16 | GIS | General Mills | 0.920 |
| 17 | TSN | Tyson Foods | 0.920 |
| 18 | GE | GE Aerospace | 0.920 |
| 19 | EMR | Emerson Electric | 0.920 |
| 20 | KMI | Kinder Morgan | 0.920 |
| 21 | PPG | PPG Industries | 0.920 |
| 22 | NUE | Nucor | 0.920 |
| 23 | ADI | Analog Devices | 0.919 |
| 24 | TJX | TJX Companies | 0.919 |
| 25 | OKE | ONEOK | 0.918 |
| 26 | HAL | Halliburton | 0.916 |
| 27 | PLTR | Palantir | 0.915 |
| 28 | USB | U.S. Bancorp | 0.915 |
| 29 | NFLX | Netflix | 0.914 |
| 30 | AXP | American Express | 0.914 |
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.