SEA005Factor HubSeasonality FactorsLow

Lunar New Year Effect Factor

The strongest seasonal pocket of the year falls just before the Lunar New Year.

Formula

CNY = AvgReturn(春节前5日至节后1日)

Annualized return

11.84%

Sharpe ratio

0.65

Max drawdown

-25.17%

Total return

206.24%

Cumulative performance（2016-09 … 2026-08）

2016 -3.3%2017 -2.7%2018 -4.6%2019 +32.6%2020 +36.1%2021 +17.5%2022 +20.8%2023 -9.4%2024 +6.8%2025 +21.7%2026 +13.2%

#	Ticker	Company	Score
1	NUE	Nucor	5.063
2	PLD	Prologis	4.729
3	NET	Cloudflare	4.629
4	GD	General Dynamics	4.584
5	LRCX	Lam Research	4.452
6	MELI	MercadoLibre	4.380
7	ADBE	Adobe	4.349
8	MAA	Mid-America Apartment	4.251
9	ITW	ITW	4.216
10	CARR	Carrier Global	4.104
11	DDOG	Datadog	3.870
12	ETSY	Etsy	3.825
13	C	Citigroup	3.813
14	TRV	Travelers	3.730
15	SNPS	Synopsys	3.613
16	ADI	Analog Devices	3.517
17	SPGI	S&P Global	3.502
18	URI	United Rentals	3.234
19	HPQ	HP	3.111
20	AXP	American Express	3.094
21	ETN	Eaton	3.079
22	MCHP	Microchip Technology	3.040
23	ANET	Arista Networks	3.033
24	ALB	Albemarle	2.970
25	BMY	Bristol-Myers Squibb	2.966
26	CI	Cigna	2.882
27	PLTR	Palantir	2.878
28	WBD	Warner Bros Discovery	2.827
29	QCOM	Qualcomm	2.805
30	ACN	Accenture	2.797

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.