LIQ007Factor HubLiquidity FactorsMedium
Block Trade Share Factor
Block-trade share signals institutional presence — and information asymmetry.
Formula
大单占比 = 大单成交金额 / 总成交金额Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
11.63%
Sharpe ratio
0.72
Max drawdown
-20.92%
Total return
200.39%
Cumulative performance（2016-09 … 2026-08）
2016 -4.9%2017 +8.2%2018 +16.9%2019 +3.3%2020 +27.4%2021 +11.7%2022 +17.9%2023 +2.1%2024 -5.6%2025 +32.2%2026 +12.9%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | SNOW | Snowflake | 0.329 |
| 2 | KHC | Kraft Heinz | 0.328 |
| 3 | MRVL | Marvell Technology | 0.327 |
| 4 | UPS | United Parcel Service | 0.327 |
| 5 | TMO | Thermo Fisher | 0.326 |
| 6 | VLO | Valero Energy | 0.325 |
| 7 | ALL | Allstate | 0.324 |
| 8 | STT | State Street | 0.324 |
| 9 | EOG | EOG Resources | 0.323 |
| 10 | MDLZ | Mondelez | 0.323 |
| 11 | CHTR | Charter Communications | 0.323 |
| 12 | PH | Parker Hannifin | 0.322 |
| 13 | AMT | American Tower | 0.322 |
| 14 | ULTA | Ulta Beauty | 0.321 |
| 15 | BHP | BHP | 0.320 |
| 16 | FE | FirstEnergy | 0.320 |
| 17 | TDG | TransDigm | 0.320 |
| 18 | XEL | Xcel Energy | 0.319 |
| 19 | TSLA | Tesla | 0.318 |
| 20 | QCOM | Qualcomm | 0.317 |
| 21 | EMR | Emerson Electric | 0.317 |
| 22 | FDX | FedEx | 0.316 |
| 23 | NEE | NextEra Energy | 0.316 |
| 24 | ROKU | Roku | 0.316 |
| 25 | NET | Cloudflare | 0.314 |
| 26 | TJX | TJX Companies | 0.313 |
| 27 | NOW | ServiceNow | 0.313 |
| 28 | V | Visa | 0.313 |
| 29 | MELI | MercadoLibre | 0.310 |
| 30 | ENTG | Entegris | 0.304 |
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.