MOM002Factor HubMomentum FactorsHigh
Reversal Factor
Buys one-month losers, harvesting the short-term snapback after oversold plunges.
Formula
REV = -R_{t-20,t}Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
10.55%
Sharpe ratio
0.64
Max drawdown
-25.06%
Total return
172.61%
Cumulative performance（2016-09 … 2026-08）
2016 +4.0%2017 -7.2%2018 -6.8%2019 +23.4%2020 +43.2%2021 +11.1%2022 +26.9%2023 -10.7%2024 +5.6%2025 +14.0%2026 +13.3%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | ESS | Essex Property Trust | 0.315 |
| 2 | ES | Eversource Energy | 0.284 |
| 3 | BNY | BNY Mellon | 0.264 |
| 4 | AEP | American Electric Power | 0.250 |
| 5 | PM | Philip Morris | 0.233 |
| 6 | CE | Celanese | 0.231 |
| 7 | FANG | Diamondback Energy | 0.228 |
| 8 | WM | Waste Management | 0.217 |
| 9 | HPQ | HP | 0.215 |
| 10 | FTV | Fortive | 0.200 |
| 11 | MCD | McDonald's | 0.191 |
| 12 | GLW | Corning | 0.185 |
| 13 | ECL | Ecolab | 0.181 |
| 14 | ITW | ITW | 0.180 |
| 15 | XEL | Xcel Energy | 0.175 |
| 16 | CL | Colgate-Palmolive | 0.162 |
| 17 | TSN | Tyson Foods | 0.161 |
| 18 | BMY | Bristol-Myers Squibb | 0.158 |
| 19 | CVS | CVS Health | 0.157 |
| 20 | CMCSA | Comcast | 0.154 |
| 21 | EPR | EPR Properties | 0.148 |
| 22 | MELI | MercadoLibre | 0.145 |
| 23 | ROST | Ross Stores | 0.143 |
| 24 | CMS | CMS Energy | 0.138 |
| 25 | FRT | Federal Realty | 0.132 |
| 26 | SOFI | SoFi Technologies | 0.131 |
| 27 | MPC | Marathon Petroleum | 0.131 |
| 28 | CAT | Caterpillar | 0.131 |
| 29 | EXC | Exelon | 0.130 |
| 30 | PEP | PepsiCo | 0.129 |
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.