LIQ010Factor HubLiquidity FactorsHigh
Order Imbalance Factor
Persistent buy-side imbalance presses prices upward in the short run.
Formula
OIB = (BuyVol - SellVol) / (BuyVol + SellVol)Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
2.53%
Sharpe ratio
0.24
Max drawdown
-26.55%
Total return
28.33%
Cumulative performance（2016-09 … 2026-08）
2016 -8.4%2017 -5.3%2018 -9.2%2019 +8.3%2020 +35.7%2021 +4.8%2022 +20.7%2023 -7.2%2024 -8.2%2025 -1.8%2026 +4.6%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | TER | Teradyne | 1.000 |
| 2 | FE | FirstEnergy | 0.961 |
| 3 | AIG | American Intl Group | 0.899 |
| 4 | MAA | Mid-America Apartment | 0.882 |
| 5 | SHW | Sherwin-Williams | 0.803 |
| 6 | PEG | Public Service Enterprise | 0.720 |
| 7 | KIM | Kimco Realty | 0.719 |
| 8 | BAC | Bank of America | 0.714 |
| 9 | FDX | FedEx | 0.708 |
| 10 | SBAC | SBA Communications | 0.706 |
| 11 | ED | Consolidated Edison | 0.692 |
| 12 | KVUE | Kenvue | 0.663 |
| 13 | SBUX | Starbucks | 0.636 |
| 14 | EIX | Edison International | 0.619 |
| 15 | CMG | Chipotle Mexican Grill | 0.616 |
| 16 | CI | Cigna | 0.584 |
| 17 | PPG | PPG Industries | 0.584 |
| 18 | MDLZ | Mondelez | 0.578 |
| 19 | AMT | American Tower | 0.565 |
| 20 | ADP | ADP | 0.558 |
| 21 | TJX | TJX Companies | 0.544 |
| 22 | HON | Honeywell | 0.541 |
| 23 | PRU | Prudential Financial | 0.539 |
| 24 | USB | U.S. Bancorp | 0.538 |
| 25 | MA | Mastercard | 0.534 |
| 26 | PLD | Prologis | 0.520 |
| 27 | KMI | Kinder Morgan | 0.507 |
| 28 | ALL | Allstate | 0.503 |
| 29 | KHC | Kraft Heinz | 0.499 |
| 30 | PSA | Public Storage | 0.498 |
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.