ML001Factor HubML FactorsMedium
Multi-Factor Alpha
Composite machine-learning alpha: 0.25·z(-PE) + 0.20·z(dividend yield) + 0.25·z(20d return) + 0.30·z(-20d volatility) — the model-factor added by Factor Hub in 2026-10.
Formula
0.25·zscore(-PE) + 0.20·zscore(DV) + 0.25·zscore(Ret20d) + 0.30·zscore(-Vol20d)Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
5.35%
Sharpe ratio
0.43
Max drawdown
-22.30%
Total return
68.47%
Cumulative performance（2016-09 … 2026-08）
2016 -8.0%2017 -5.0%2018 -3.5%2019 +16.1%2020 +28.6%2021 -3.4%2022 +17.5%2023 -6.0%2024 -1.1%2025 +17.2%2026 +8.1%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | MAA | Mid-America Apartment | 1.205 |
| 2 | FE | FirstEnergy | 1.163 |
| 3 | SBAC | SBA Communications | 1.100 |
| 4 | PLD | Prologis | 0.981 |
| 5 | KIM | Kimco Realty | 0.921 |
| 6 | CCI | Crown Castle | 0.918 |
| 7 | LNG | Cheniere Energy | 0.884 |
| 8 | REG | Regency Centers | 0.879 |
| 9 | AEE | Ameren | 0.872 |
| 10 | AMT | American Tower | 0.868 |
| 11 | AIG | American Intl Group | 0.862 |
| 12 | PEG | Public Service Enterprise | 0.856 |
| 13 | KMI | Kinder Morgan | 0.843 |
| 14 | PSA | Public Storage | 0.827 |
| 15 | PSX | Phillips 66 | 0.811 |
| 16 | VICI | VICI Properties | 0.742 |
| 17 | O | Realty Income | 0.731 |
| 18 | MDLZ | Mondelez | 0.717 |
| 19 | HAL | Halliburton | 0.692 |
| 20 | MET | MetLife | 0.676 |
| 21 | FDX | FedEx | 0.650 |
| 22 | SHW | Sherwin-Williams | 0.634 |
| 23 | KHC | Kraft Heinz | 0.617 |
| 24 | FRT | Federal Realty | 0.617 |
| 25 | CVX | Chevron | 0.610 |
| 26 | CI | Cigna | 0.604 |
| 27 | EOG | EOG Resources | 0.603 |
| 28 | UDR | UDR | 0.600 |
| 29 | KVUE | Kenvue | 0.598 |
| 30 | WMB | Williams Companies | 0.595 |
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.