MOM006Factor HubMomentum FactorsHigh
5-Day Reversal Factor
An ultra-short reversal that buys the hardest-hit names of the past week.
Formula
Score = -R_5dPerformance (Top-30 equal-weight long, monthly rebalance)
Annualized return
13.33%
Sharpe ratio
0.76
Max drawdown
-31.79%
Total return
249.53%
Cumulative performance（2016-09 … 2026-08）
2016 -6.8%2017 -12.6%2018 +1.7%2019 +48.6%2020 +36.2%2021 +11.6%2022 +23.4%2023 +1.2%2024 +9.5%2025 +12.7%2026 +21.4%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | AMD | Advanced Micro Devices | 0.128 |
| 2 | ECL | Ecolab | 0.122 |
| 3 | NET | Cloudflare | 0.118 |
| 4 | CVS | CVS Health | 0.104 |
| 5 | CRM | Salesforce | 0.102 |
| 6 | ESS | Essex Property Trust | 0.101 |
| 7 | KLAC | KLA | 0.099 |
| 8 | ES | Eversource Energy | 0.094 |
| 9 | BHP | BHP | 0.093 |
| 10 | MELI | MercadoLibre | 0.089 |
| 11 | XEL | Xcel Energy | 0.083 |
| 12 | LII | Lennox International | 0.082 |
| 13 | RCL | Royal Caribbean | 0.080 |
| 14 | VRTX | Vertex Pharmaceuticals | 0.077 |
| 15 | ZS | Zscaler | 0.076 |
| 16 | MDB | MongoDB | 0.076 |
| 17 | ULTA | Ulta Beauty | 0.076 |
| 18 | FANG | Diamondback Energy | 0.075 |
| 19 | ROST | Ross Stores | 0.074 |
| 20 | TTD | The Trade Desk | 0.072 |
| 21 | ITW | ITW | 0.072 |
| 22 | IBM | IBM | 0.071 |
| 23 | NXPI | NXP Semiconductors | 0.068 |
| 24 | CL | Colgate-Palmolive | 0.067 |
| 25 | BSX | Boston Scientific | 0.067 |
| 26 | CE | Celanese | 0.066 |
| 27 | WM | Waste Management | 0.065 |
| 28 | BNY | BNY Mellon | 0.064 |
| 29 | AXP | American Express | 0.062 |
| 30 | BMY | Bristol-Myers Squibb | 0.061 |
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.