SIZ002Factor HubSize FactorsHigh
Float Cap Factor
Free-float cap captures tradable size better than total cap.
Formula
FSize = -ln(流通市值)Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
4.26%
Sharpe ratio
0.32
Max drawdown
-29.63%
Total return
51.74%
Cumulative performance（2016-09 … 2026-08）
2016 -9.5%2017 -2.9%2018 -0.2%2019 +35.9%2020 +12.6%2021 +14.4%2022 +27.7%2023 -6.2%2024 -1.5%2025 -13.5%2026 -3.1%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | TER | Teradyne | 3.522 |
| 2 | EBAY | eBay | 1.302 |
| 3 | PCG | PG&E | 1.115 |
| 4 | AEP | American Electric Power | 0.813 |
| 5 | XEL | Xcel Energy | 0.793 |
| 6 | CE | Celanese | 0.774 |
| 7 | PCAR | Paccar | 0.741 |
| 8 | CMG | Chipotle Mexican Grill | 0.701 |
| 9 | GM | General Motors | 0.301 |
| 10 | LEN | Lennar | 0.280 |
| 11 | CDNS | Cadence | 0.249 |
| 12 | SHW | Sherwin-Williams | 0.243 |
| 13 | EL | Estee Lauder | 0.100 |
| 14 | SJM | J.M. Smucker | -0.019 |
| 15 | PPL | PPL Corporation | -0.056 |
| 16 | TSN | Tyson Foods | -0.109 |
| 17 | UDR | UDR | -0.168 |
| 18 | EIX | Edison International | -0.177 |
| 19 | KIM | Kimco Realty | -0.349 |
| 20 | F | Ford Motor | -0.360 |
| 21 | SMCI | Super Micro Computer | -0.449 |
| 22 | DELL | Dell Technologies | -0.507 |
| 23 | ED | Consolidated Edison | -0.575 |
| 24 | STLD | Steel Dynamics | -0.647 |
| 25 | TPL | Texas Pacific Land | -0.773 |
| 26 | EPR | EPR Properties | -0.914 |
| 27 | LII | Lennox International | -0.927 |
| 28 | FANG | Diamondback Energy | -0.969 |
| 29 | CVS | CVS Health | -1.011 |
| 30 | WEC | WEC Energy | -1.070 |
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.