RSK014Factor HubRisk FactorsHigh
Extreme Risk Factor
Kurtosis and skew combine to score exposure to black-swan outcomes.
Formula
TailRisk = Kurtosis(R_60d) + |Skewness(R_60d)|Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
6.25%
Sharpe ratio
0.43
Max drawdown
-31.69%
Total return
83.33%
Cumulative performance（2016-09 … 2026-08）
2016 -1.5%2017 -9.9%2018 -7.6%2019 +18.5%2020 +22.8%2021 +3.6%2022 +23.5%2023 -2.8%2024 -2.8%2025 +16.6%2026 +9.0%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | HSY | Hershey | 4.092 |
| 2 | WEC | WEC Energy | 2.643 |
| 3 | GOOGL | Alphabet | 2.352 |
| 4 | XEL | Xcel Energy | 2.193 |
| 5 | BAC | Bank of America | 2.129 |
| 6 | MOS | Mosaic | 1.825 |
| 7 | BKR | Baker Hughes | 1.740 |
| 8 | ZS | Zscaler | 1.727 |
| 9 | LOW | Lowe's | 1.717 |
| 10 | MRK | Merck | 1.671 |
| 11 | KHC | Kraft Heinz | 1.318 |
| 12 | SJM | J.M. Smucker | 1.311 |
| 13 | ECL | Ecolab | 1.292 |
| 14 | DELL | Dell Technologies | 1.252 |
| 15 | CE | Celanese | 1.224 |
| 16 | LIN | Linde | 1.220 |
| 17 | AMT | American Tower | 1.209 |
| 18 | RIO | Rio Tinto | 1.173 |
| 19 | AAPL | Apple | 1.051 |
| 20 | DHR | Danaher | 1.050 |
| 21 | AMZN | Amazon | 1.018 |
| 22 | VZ | Verizon | 1.016 |
| 23 | XOM | Exxon Mobil | 1.002 |
| 24 | LRCX | Lam Research | 0.959 |
| 25 | F | Ford Motor | 0.900 |
| 26 | T | AT&T | 0.876 |
| 27 | CCI | Crown Castle | 0.871 |
| 28 | NEM | Newmont | 0.851 |
| 29 | DD | DuPont | 0.843 |
| 30 | ISRG | Intuitive Surgical | 0.797 |
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.