RSK003Factor HubRisk FactorsMedium
Idiosyncratic Volatility Factor
Residual volatility from CAPM regressions flags the low-risk anomaly.
Formula
IVOL = -std(residuals from CAPM)Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
8.67%
Sharpe ratio
0.67
Max drawdown
-18.47%
Total return
129.71%
Cumulative performance（2016-09 … 2026-08）
2016 -0.7%2017 -2.2%2018 +8.8%2019 +14.0%2020 +14.8%2021 -3.9%2022 +35.6%2023 -0.8%2024 +18.6%2025 +7.5%2026 +0.7%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | BRK.B | Berkshire Hathaway | -0.006 |
| 2 | ED | Consolidated Edison | -0.007 |
| 3 | KIM | Kimco Realty | -0.008 |
| 4 | COST | Costco | -0.008 |
| 5 | XEL | Xcel Energy | -0.008 |
| 6 | REG | Regency Centers | -0.008 |
| 7 | MAA | Mid-America Apartment | -0.008 |
| 8 | UDR | UDR | -0.008 |
| 9 | PPL | PPL Corporation | -0.008 |
| 10 | O | Realty Income | -0.008 |
| 11 | ATO | Atmos Energy | -0.008 |
| 12 | VICI | VICI Properties | -0.008 |
| 13 | WEC | WEC Energy | -0.009 |
| 14 | MA | Mastercard | -0.009 |
| 15 | LIN | Linde | -0.009 |
| 16 | KO | Coca-Cola | -0.009 |
| 17 | AEE | Ameren | -0.009 |
| 18 | SO | Southern Company | -0.009 |
| 19 | JNJ | Johnson & Johnson | -0.009 |
| 20 | BAC | Bank of America | -0.009 |
| 21 | DUK | Duke Energy | -0.009 |
| 22 | PEP | PepsiCo | -0.009 |
| 23 | NEE | NextEra Energy | -0.010 |
| 24 | UNP | Union Pacific | -0.010 |
| 25 | PEG | Public Service Enterprise | -0.010 |
| 26 | EPR | EPR Properties | -0.010 |
| 27 | PG | Procter & Gamble | -0.010 |
| 28 | OTIS | Otis Worldwide | -0.010 |
| 29 | CMS | CMS Energy | -0.010 |
| 30 | MDLZ | Mondelez | -0.010 |
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.