SIZ010Factor HubSize FactorsHigh
Micro-Cap Factor
The bottom decile of cap, where inefficiency — and risk — are greatest.
Formula
MicroCap = 1 if MV < Percentile(MV_all, 10%) else 0Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
4.87%
Sharpe ratio
0.35
Max drawdown
-31.09%
Total return
60.84%
Cumulative performance（2016-09 … 2026-08）
2016 -12.1%2017 -5.9%2018 -0.1%2019 +42.5%2020 +14.1%2021 +18.0%2022 +29.5%2023 -7.0%2024 -3.4%2025 -10.9%2026 -2.2%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | CDNS | Cadence | 1.000 |
| 2 | SMCI | Super Micro Computer | 1.000 |
| 3 | DELL | Dell Technologies | 1.000 |
| 4 | TER | Teradyne | 1.000 |
| 5 | GM | General Motors | 1.000 |
| 6 | F | Ford Motor | 1.000 |
| 7 | CMG | Chipotle Mexican Grill | 1.000 |
| 8 | EBAY | eBay | 1.000 |
| 9 | LEN | Lennar | 1.000 |
| 10 | SJM | J.M. Smucker | 1.000 |
| 11 | TSN | Tyson Foods | 1.000 |
| 12 | EL | Estee Lauder | 1.000 |
| 13 | PCAR | Paccar | 1.000 |
| 14 | SHW | Sherwin-Williams | 1.000 |
| 15 | PPG | PPG Industries | 1.000 |
| 16 | STLD | Steel Dynamics | 1.000 |
| 17 | CE | Celanese | 1.000 |
| 18 | AEP | American Electric Power | 1.000 |
| 19 | XEL | Xcel Energy | 1.000 |
| 20 | ED | Consolidated Edison | 1.000 |
| 21 | EIX | Edison International | 1.000 |
| 22 | PCG | PG&E | 1.000 |
| 23 | PPL | PPL Corporation | 1.000 |
| 24 | KIM | Kimco Realty | 1.000 |
| 25 | EPR | EPR Properties | 1.000 |
| 26 | UDR | UDR | 1.000 |
| 27 | AAPL | Apple | 0.000 |
| 28 | MSFT | Microsoft | 0.000 |
| 29 | NVDA | NVIDIA | 0.000 |
| 30 | AVGO | Broadcom | 0.000 |
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.