SIZ004Factor HubSize FactorsMedium
Asset Scale Factor
Log total assets — most informative for financials and asset-heavy sectors.
Formula
ASize = -ln(总资产)Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
5.98%
Sharpe ratio
0.42
Max drawdown
-24.88%
Total return
78.68%
Cumulative performance（2016-09 … 2026-08）
2016 -3.1%2017 -11.8%2018 +3.4%2019 +21.1%2020 +33.2%2021 -1.3%2022 +28.2%2023 -9.0%2024 +0.7%2025 +2.9%2026 +4.9%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | MSFT | Microsoft | 3.550 |
| 2 | AAPL | Apple | 3.436 |
| 3 | QCOM | Qualcomm | 3.433 |
| 4 | NXPI | NXP Semiconductors | 3.414 |
| 5 | AVGO | Broadcom | 3.391 |
| 6 | CMG | Chipotle Mexican Grill | 3.306 |
| 7 | CRM | Salesforce | 3.231 |
| 8 | RTX | RTX Corp | 3.224 |
| 9 | NOW | ServiceNow | 3.181 |
| 10 | TJX | TJX Companies | 3.155 |
| 11 | UNH | UnitedHealth | 3.143 |
| 12 | BSX | Boston Scientific | 3.135 |
| 13 | CSCO | Cisco Systems | 3.087 |
| 14 | GE | GE Aerospace | 3.071 |
| 15 | NFLX | Netflix | 3.049 |
| 16 | SO | Southern Company | 3.043 |
| 17 | AMGN | Amgen | 2.980 |
| 18 | PG | Procter & Gamble | 2.979 |
| 19 | NVO | Novo Nordisk | 2.944 |
| 20 | CDNS | Cadence | 2.923 |
| 21 | SPOT | Spotify | 2.894 |
| 22 | ORLY | O'Reilly Automotive | 2.869 |
| 23 | MDT | Medtronic | 2.832 |
| 24 | JNJ | Johnson & Johnson | 2.789 |
| 25 | MCD | McDonald's | 2.771 |
| 26 | TMO | Thermo Fisher | 2.752 |
| 27 | CRWD | CrowdStrike | 2.701 |
| 28 | BA | Boeing | 2.665 |
| 29 | META | Meta Platforms | 2.646 |
| 30 | WMT | Walmart | 2.639 |
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.