SIZ009Factor HubSize FactorsHigh
Size-Momentum Factor
Combines small size with fast cap growth — firms entering a re-rating phase.
Formula
SizeMom = Rank(MV) * ΔMV_60d / MVPerformance (Top-30 equal-weight long, monthly rebalance)
Annualized return
9.56%
Sharpe ratio
0.60
Max drawdown
-25.68%
Total return
149.26%
Cumulative performance（2016-09 … 2026-08）
2016 -5.2%2017 -0.9%2018 -14.8%2019 +21.2%2020 +57.0%2021 +6.4%2022 +32.9%2023 -4.0%2024 -4.7%2025 +13.7%2026 +11.4%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | PLD | Prologis | 0.562 |
| 2 | NKE | Nike | 0.414 |
| 3 | VZ | Verizon | 0.403 |
| 4 | ISRG | Intuitive Surgical | 0.339 |
| 5 | PFE | Pfizer | 0.335 |
| 6 | SLB | SLB | 0.334 |
| 7 | INTU | Intuit | 0.311 |
| 8 | RIO | Rio Tinto | 0.287 |
| 9 | WFC | Wells Fargo | 0.276 |
| 10 | SOFI | SoFi Technologies | 0.251 |
| 11 | ADBE | Adobe | 0.242 |
| 12 | CCI | Crown Castle | 0.236 |
| 13 | RTX | RTX Corp | 0.235 |
| 14 | GD | General Dynamics | 0.221 |
| 15 | GIS | General Mills | 0.218 |
| 16 | D | Dominion Energy | 0.216 |
| 17 | AMT | American Tower | 0.215 |
| 18 | FDX | FedEx | 0.213 |
| 19 | OKE | ONEOK | 0.211 |
| 20 | LMT | Lockheed Martin | 0.203 |
| 21 | TSLA | Tesla | 0.202 |
| 22 | MA | Mastercard | 0.202 |
| 23 | ACN | Accenture | 0.192 |
| 24 | ABNB | Airbnb | 0.187 |
| 25 | ADP | ADP | 0.184 |
| 26 | NOW | ServiceNow | 0.175 |
| 27 | BAC | Bank of America | 0.175 |
| 28 | YUM | Yum Brands | 0.166 |
| 29 | SRE | Sempra | 0.159 |
| 30 | AMD | Advanced Micro Devices | 0.157 |
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.