RSK004Factor HubRisk FactorsMedium
Tail Risk Factor
Conditions on CVaR to keep portfolios out of the worst tail scenarios.
Formula
Score = -CVaR_5%Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
7.67%
Sharpe ratio
0.45
Max drawdown
-31.62%
Total return
109.30%
Cumulative performance（2016-09 … 2026-08）
2016 -10.4%2017 -11.4%2018 +5.7%2019 +20.2%2020 +44.1%2021 +3.7%2022 +32.8%2023 +1.0%2024 -12.2%2025 +5.2%2026 +12.2%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | MU | Micron Technology | 0.079 |
| 2 | SMCI | Super Micro Computer | 0.076 |
| 3 | GLW | Corning | 0.070 |
| 4 | SNOW | Snowflake | 0.068 |
| 5 | MRVL | Marvell Technology | 0.068 |
| 6 | ENTG | Entegris | 0.065 |
| 7 | DDOG | Datadog | 0.065 |
| 8 | AMC | AMC Entertainment | 0.063 |
| 9 | NET | Cloudflare | 0.062 |
| 10 | AMAT | Applied Materials | 0.062 |
| 11 | TTD | The Trade Desk | 0.058 |
| 12 | KLAC | KLA | 0.058 |
| 13 | DELL | Dell Technologies | 0.058 |
| 14 | AMD | Advanced Micro Devices | 0.057 |
| 15 | ALB | Albemarle | 0.057 |
| 16 | LRCX | Lam Research | 0.057 |
| 17 | EL | Estee Lauder | 0.056 |
| 18 | MDB | MongoDB | 0.056 |
| 19 | CE | Celanese | 0.054 |
| 20 | ANET | Arista Networks | 0.053 |
| 21 | TER | Teradyne | 0.053 |
| 22 | MOS | Mosaic | 0.050 |
| 23 | FCX | Freeport-McMoRan | 0.050 |
| 24 | ON | ON Semiconductor | 0.050 |
| 25 | PLTR | Palantir | 0.049 |
| 26 | PANW | Palo Alto Networks | 0.049 |
| 27 | SOFI | SoFi Technologies | 0.049 |
| 28 | CRWD | CrowdStrike | 0.048 |
| 29 | ZS | Zscaler | 0.047 |
| 30 | AVGO | Broadcom | 0.047 |
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.