PRF008Factor HubProfitability FactorsMedium
Capital Efficiency Factor
A DuPont-style blend of turnover and margin capturing how well capital is deployed.
Formula
资本效率 = 营业收入 / 投入资本 × 净利率Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
7.46%
Sharpe ratio
0.46
Max drawdown
-30.70%
Total return
105.37%
Cumulative performance（2016-09 … 2026-08）
2016 -10.3%2017 -12.5%2018 +5.6%2019 +26.8%2020 +36.2%2021 +6.8%2022 +20.3%2023 -4.9%2024 -10.0%2025 +11.2%2026 +17.3%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | TXN | Texas Instruments | 0.411 |
| 2 | KLAC | KLA | 0.363 |
| 3 | INTU | Intuit | 0.342 |
| 4 | NOW | ServiceNow | 0.325 |
| 5 | CDNS | Cadence | 0.320 |
| 6 | QCOM | Qualcomm | 0.318 |
| 7 | MDB | MongoDB | 0.312 |
| 8 | ON | ON Semiconductor | 0.306 |
| 9 | MSFT | Microsoft | 0.306 |
| 10 | ANET | Arista Networks | 0.293 |
| 11 | NET | Cloudflare | 0.281 |
| 12 | ZS | Zscaler | 0.281 |
| 13 | LRCX | Lam Research | 0.271 |
| 14 | CRM | Salesforce | 0.266 |
| 15 | DDOG | Datadog | 0.264 |
| 16 | MU | Micron Technology | 0.263 |
| 17 | MELI | MercadoLibre | 0.262 |
| 18 | FTNT | Fortinet | 0.261 |
| 19 | CMG | Chipotle Mexican Grill | 0.261 |
| 20 | GLW | Corning | 0.260 |
| 21 | PANW | Palo Alto Networks | 0.260 |
| 22 | TJX | TJX Companies | 0.256 |
| 23 | AMAT | Applied Materials | 0.255 |
| 24 | DAL | Delta Air Lines | 0.250 |
| 25 | SNOW | Snowflake | 0.249 |
| 26 | AMZN | Amazon | 0.243 |
| 27 | SMCI | Super Micro Computer | 0.241 |
| 28 | HSY | Hershey | 0.237 |
| 29 | CSCO | Cisco Systems | 0.232 |
| 30 | AZO | AutoZone | 0.227 |
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.