RSK010Factor HubRisk FactorsLow
Systematic Risk Factor
Market-exposure decomposition favors portfolios that de-emphasize beta.
Formula
SysRisk = β² * σ²_market / σ²_stockPerformance (Top-30 equal-weight long, monthly rebalance)
Annualized return
11.01%
Sharpe ratio
0.59
Max drawdown
-35.90%
Total return
184.26%
Cumulative performance（2016-09 … 2026-08）
2016 -6.8%2017 -16.9%2018 -0.4%2019 +3.5%2020 +42.1%2021 +19.4%2022 +44.1%2023 +14.1%2024 +20.3%2025 +12.4%2026 -5.7%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | BRK.B | Berkshire Hathaway | 0.363 |
| 2 | VICI | VICI Properties | 0.264 |
| 3 | LOW | Lowe's | 0.248 |
| 4 | XOM | Exxon Mobil | 0.238 |
| 5 | WM | Waste Management | 0.232 |
| 6 | COST | Costco | 0.218 |
| 7 | GD | General Dynamics | 0.217 |
| 8 | PSA | Public Storage | 0.205 |
| 9 | AMT | American Tower | 0.200 |
| 10 | KIM | Kimco Realty | 0.200 |
| 11 | LMT | Lockheed Martin | 0.196 |
| 12 | MMM | 3M | 0.192 |
| 13 | MA | Mastercard | 0.191 |
| 14 | JPM | JPMorgan Chase | 0.187 |
| 15 | CSX | CSX | 0.180 |
| 16 | HSY | Hershey | 0.176 |
| 17 | SBUX | Starbucks | 0.175 |
| 18 | T | AT&T | 0.169 |
| 19 | UPS | United Parcel Service | 0.167 |
| 20 | NSC | Norfolk Southern | 0.164 |
| 21 | LNG | Cheniere Energy | 0.160 |
| 22 | INTU | Intuit | 0.159 |
| 23 | HD | Home Depot | 0.157 |
| 24 | ED | Consolidated Edison | 0.157 |
| 25 | AMD | Advanced Micro Devices | 0.144 |
| 26 | WEC | WEC Energy | 0.144 |
| 27 | META | Meta Platforms | 0.143 |
| 28 | TRV | Travelers | 0.140 |
| 29 | NEM | Newmont | 0.137 |
| 30 | USB | U.S. Bancorp | 0.137 |
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.