QUA012Factor HubQuality FactorsLow
Earnings Persistence Factor
Autocorrelation of earnings: persistent earners deserve, and tend to get, higher multiples.
Formula
盈利持续性 = corr(ROE(t), ROE(t-1)), t=1..8季度Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
8.06%
Sharpe ratio
0.54
Max drawdown
-21.05%
Total return
117.19%
Cumulative performance（2016-09 … 2026-08）
2016 -8.8%2017 -1.0%2018 +3.1%2019 +23.4%2020 +24.4%2021 +6.2%2022 +27.3%2023 -10.9%2024 +3.7%2025 +14.9%2026 +5.7%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | DD | DuPont | 0.772 |
| 2 | AVGO | Broadcom | 0.759 |
| 3 | AEP | American Electric Power | 0.681 |
| 4 | DIS | Walt Disney | 0.613 |
| 5 | AMC | AMC Entertainment | 0.499 |
| 6 | MET | MetLife | 0.467 |
| 7 | VLO | Valero Energy | 0.445 |
| 8 | CRWD | CrowdStrike | 0.439 |
| 9 | MCK | McKesson | 0.426 |
| 10 | STLD | Steel Dynamics | 0.424 |
| 11 | COF | Capital One | 0.400 |
| 12 | CVX | Chevron | 0.399 |
| 13 | ISRG | Intuitive Surgical | 0.398 |
| 14 | SYK | Stryker | 0.387 |
| 15 | SLB | SLB | 0.382 |
| 16 | MDB | MongoDB | 0.372 |
| 17 | VRTX | Vertex Pharmaceuticals | 0.367 |
| 18 | MDT | Medtronic | 0.365 |
| 19 | PGR | Progressive | 0.349 |
| 20 | AMGN | Amgen | 0.345 |
| 21 | GD | General Dynamics | 0.335 |
| 22 | TTD | The Trade Desk | 0.329 |
| 23 | AEE | Ameren | 0.323 |
| 24 | SMCI | Super Micro Computer | 0.319 |
| 25 | BMY | Bristol-Myers Squibb | 0.311 |
| 26 | BKR | Baker Hughes | 0.311 |
| 27 | MRVL | Marvell Technology | 0.308 |
| 28 | RIO | Rio Tinto | 0.300 |
| 29 | NEE | NextEra Energy | 0.285 |
| 30 | CRM | Salesforce | 0.280 |
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.