LIQ008Factor HubLiquidity FactorsHigh
Liquidity Risk Factor
How much liquidity dries up under stress — these names get dumped in panics.
Formula
LiqRisk = Δ(BidAskSpread) / Δ(VIX)Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
6.02%
Sharpe ratio
0.42
Max drawdown
-27.92%
Total return
79.49%
Cumulative performance（2016-09 … 2026-08）
2016 -7.3%2017 -7.8%2018 -4.0%2019 +15.8%2020 +34.0%2021 -1.4%2022 +26.9%2023 +0.0%2024 -6.2%2025 +15.1%2026 +4.4%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | APD | Air Products | 48.118 |
| 2 | NSC | Norfolk Southern | 45.939 |
| 3 | SYK | Stryker | 41.787 |
| 4 | NXPI | NXP Semiconductors | 35.382 |
| 5 | ATO | Atmos Energy | 32.870 |
| 6 | EIX | Edison International | 32.204 |
| 7 | CDNS | Cadence | 31.814 |
| 8 | MAR | Marriott International | 31.187 |
| 9 | LEN | Lennar | 27.942 |
| 10 | EL | Estee Lauder | 27.454 |
| 11 | NOC | Northrop Grumman | 26.987 |
| 12 | CAT | Caterpillar | 24.936 |
| 13 | MAA | Mid-America Apartment | 24.386 |
| 14 | EOG | EOG Resources | 23.947 |
| 15 | SCCO | Southern Copper | 23.674 |
| 16 | TER | Teradyne | 21.756 |
| 17 | OTIS | Otis Worldwide | 20.922 |
| 18 | PPL | PPL Corporation | 19.376 |
| 19 | EPR | EPR Properties | 19.157 |
| 20 | BA | Boeing | 15.737 |
| 21 | SPG | Simon Property Group | 15.724 |
| 22 | GE | GE Aerospace | 15.450 |
| 23 | WDAY | Workday | 14.020 |
| 24 | CB | Chubb | 12.027 |
| 25 | TGT | Target | 11.566 |
| 26 | ABBV | AbbVie | 10.812 |
| 27 | VLO | Valero Energy | 10.271 |
| 28 | ADI | Analog Devices | 8.471 |
| 29 | UDR | UDR | 8.122 |
| 30 | PCAR | Paccar | 7.765 |
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.