SEA001Factor HubSeasonality FactorsMedium

Calendar Effect Factor

Exploits day-of-week and turn-of-month calendar anomalies for timing.

Formula

Calendar = DayOfWeek_effect + MonthOfYear_effect

Annualized return

7.22%

Sharpe ratio

0.45

Max drawdown

-26.58%

Total return

100.76%

Cumulative performance（2016-09 … 2026-08）

2016 -4.4%2017 -8.0%2018 -0.6%2019 +14.4%2020 +23.6%2021 +15.4%2022 +38.2%2023 +4.1%2024 -6.9%2025 +5.2%2026 -0.3%

#	Ticker	Company	Score
1	QCOM	Qualcomm	32.538
2	ANET	Arista Networks	29.123
3	MOS	Mosaic	28.168
4	AMC	AMC Entertainment	26.642
5	NVO	Novo Nordisk	23.450
6	GS	Goldman Sachs	21.819
7	PLTR	Palantir	21.333
8	AXP	American Express	20.669
9	TTD	The Trade Desk	20.216
10	ADBE	Adobe	20.057
11	HPQ	HP	19.941
12	TFC	Truist Financial	19.722
13	PANW	Palo Alto Networks	18.333
14	NUE	Nucor	18.270
15	ORCL	Oracle	18.067
16	LOW	Lowe's	17.765
17	DASH	DoorDash	17.490
18	LYB	LyondellBasell	17.455
19	HD	Home Depot	17.345
20	MA	Mastercard	17.221
21	DAL	Delta Air Lines	16.746
22	SOFI	SoFi Technologies	16.634
23	ENTG	Entegris	16.345
24	NKE	Nike	16.296
25	STT	State Street	16.285
26	TSLA	Tesla	15.920
27	AMD	Advanced Micro Devices	15.764
28	CRM	Salesforce	15.665
29	GOOGL	Alphabet	15.561
30	WBD	Warner Bros Discovery	15.539

Holdings computed by the exact formula above at the latest month-end observation on the deterministic research panel (2026-08).

Exports include formulas, performance statistics, the 120-month series and current holdings — everything needed to replicate results locally.