RSK011Factor HubRisk FactorsHigh
Idiosyncratic Risk Factor
High idio risk carries a lottery premium — the factor fades it.
Formula
IdioVol = Std(ε_t), ε = R - α - β*R_mPerformance (Top-30 equal-weight long, monthly rebalance)
Annualized return
6.74%
Sharpe ratio
0.41
Max drawdown
-31.41%
Total return
91.95%
Cumulative performance（2016-09 … 2026-08）
2016 -10.3%2017 -12.3%2018 +12.9%2019 +21.1%2020 +41.4%2021 +3.0%2022 +31.4%2023 -6.7%2024 -17.2%2025 +6.7%2026 +13.1%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | SMCI | Super Micro Computer | 0.042 |
| 2 | AMC | AMC Entertainment | 0.041 |
| 3 | MU | Micron Technology | 0.038 |
| 4 | GLW | Corning | 0.035 |
| 5 | MRVL | Marvell Technology | 0.035 |
| 6 | MDB | MongoDB | 0.033 |
| 7 | DELL | Dell Technologies | 0.033 |
| 8 | TER | Teradyne | 0.032 |
| 9 | ENTG | Entegris | 0.032 |
| 10 | DDOG | Datadog | 0.031 |
| 11 | KLAC | KLA | 0.030 |
| 12 | AMD | Advanced Micro Devices | 0.030 |
| 13 | ZS | Zscaler | 0.030 |
| 14 | NET | Cloudflare | 0.029 |
| 15 | SNOW | Snowflake | 0.029 |
| 16 | LRCX | Lam Research | 0.029 |
| 17 | AMAT | Applied Materials | 0.028 |
| 18 | CE | Celanese | 0.027 |
| 19 | SOFI | SoFi Technologies | 0.027 |
| 20 | ON | ON Semiconductor | 0.027 |
| 21 | QCOM | Qualcomm | 0.027 |
| 22 | TPL | Texas Pacific Land | 0.026 |
| 23 | PLTR | Palantir | 0.026 |
| 24 | ALB | Albemarle | 0.025 |
| 25 | ANET | Arista Networks | 0.025 |
| 26 | NOW | ServiceNow | 0.025 |
| 27 | MCHP | Microchip Technology | 0.025 |
| 28 | TTD | The Trade Desk | 0.024 |
| 29 | ETSY | Etsy | 0.024 |
| 30 | CRWD | CrowdStrike | 0.024 |
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.