RSK012Factor HubRisk FactorsHigh
Correlation Risk Factor
Spiking market correlation is an early warning of systemic stress.
Formula
CorrRisk = ΔCorr(R_stock, R_market, 60d)Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
7.10%
Sharpe ratio
0.47
Max drawdown
-36.97%
Total return
98.58%
Cumulative performance（2016-09 … 2026-08）
2016 -15.6%2017 -10.3%2018 -6.6%2019 +15.1%2020 +37.3%2021 +7.9%2022 +38.0%2023 +4.9%2024 +4.9%2025 +12.5%2026 -3.6%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | DVN | Devon Energy | 0.384 |
| 2 | COF | Capital One | 0.304 |
| 3 | WBD | Warner Bros Discovery | 0.268 |
| 4 | TMO | Thermo Fisher | 0.250 |
| 5 | KVUE | Kenvue | 0.220 |
| 6 | HSY | Hershey | 0.215 |
| 7 | AMD | Advanced Micro Devices | 0.179 |
| 8 | MU | Micron Technology | 0.171 |
| 9 | CVS | CVS Health | 0.154 |
| 10 | PGR | Progressive | 0.149 |
| 11 | LLY | Eli Lilly | 0.131 |
| 12 | CDNS | Cadence | 0.125 |
| 13 | VRTX | Vertex Pharmaceuticals | 0.116 |
| 14 | CI | Cigna | 0.115 |
| 15 | LRCX | Lam Research | 0.111 |
| 16 | ETN | Eaton | 0.108 |
| 17 | VICI | VICI Properties | 0.108 |
| 18 | PCG | PG&E | 0.101 |
| 19 | MRVL | Marvell Technology | 0.100 |
| 20 | NVO | Novo Nordisk | 0.098 |
| 21 | CF | CF Industries | 0.095 |
| 22 | AEE | Ameren | 0.089 |
| 23 | DHR | Danaher | 0.087 |
| 24 | DELL | Dell Technologies | 0.085 |
| 25 | STZ | Constellation Brands | 0.080 |
| 26 | ABT | Abbott Laboratories | 0.071 |
| 27 | BKR | Baker Hughes | 0.069 |
| 28 | ALB | Albemarle | 0.065 |
| 29 | NEM | Newmont | 0.063 |
| 30 | EIX | Edison International | 0.058 |
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.