RSK007Factor HubRisk FactorsMedium
VaR Factor
Historical-simulation VaR at 95% confidence bounds the expected bad month.
Formula
VaR_95 = Percentile(R_daily, 5%)Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
6.55%
Sharpe ratio
0.54
Max drawdown
-17.90%
Total return
88.56%
Cumulative performance（2016-09 … 2026-08）
2016 -2.2%2017 -0.8%2018 -4.0%2019 +12.6%2020 +20.2%2021 -3.1%2022 +29.0%2023 -9.0%2024 +8.5%2025 +12.1%2026 +8.1%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | MAA | Mid-America Apartment | -0.004 |
| 2 | PLD | Prologis | -0.005 |
| 3 | UDR | UDR | -0.008 |
| 4 | PEG | Public Service Enterprise | -0.008 |
| 5 | PPL | PPL Corporation | -0.008 |
| 6 | ED | Consolidated Edison | -0.010 |
| 7 | AEE | Ameren | -0.010 |
| 8 | BAC | Bank of America | -0.010 |
| 9 | REG | Regency Centers | -0.010 |
| 10 | LIN | Linde | -0.011 |
| 11 | YUM | Yum Brands | -0.011 |
| 12 | VZ | Verizon | -0.011 |
| 13 | KHC | Kraft Heinz | -0.011 |
| 14 | D | Dominion Energy | -0.012 |
| 15 | SRE | Sempra | -0.012 |
| 16 | DUK | Duke Energy | -0.012 |
| 17 | COST | Costco | -0.012 |
| 18 | WEC | WEC Energy | -0.012 |
| 19 | PFE | Pfizer | -0.012 |
| 20 | O | Realty Income | -0.013 |
| 21 | BRK.B | Berkshire Hathaway | -0.013 |
| 22 | JNJ | Johnson & Johnson | -0.013 |
| 23 | WFC | Wells Fargo | -0.013 |
| 24 | WMB | Williams Companies | -0.013 |
| 25 | VICI | VICI Properties | -0.013 |
| 26 | KIM | Kimco Realty | -0.013 |
| 27 | RTX | RTX Corp | -0.013 |
| 28 | OKE | ONEOK | -0.013 |
| 29 | MA | Mastercard | -0.014 |
| 30 | OTIS | Otis Worldwide | -0.014 |
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.