SNT005Factor HubSentiment FactorsHigh
Block Flow Factor
Net block-trade inflow share: institutional footprints lead price.
Formula
大单净流入比 = (大单买入额 - 大单卖出额) / 成交总额Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
11.34%
Sharpe ratio
0.67
Max drawdown
-25.05%
Total return
192.85%
Cumulative performance（2016-09 … 2026-08）
2016 -6.4%2017 -6.7%2018 +1.3%2019 +37.6%2020 +32.4%2021 +13.1%2022 +42.2%2023 +1.5%2024 +4.3%2025 +3.9%2026 +2.7%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | ORCL | Oracle | 0.084 |
| 2 | SHW | Sherwin-Williams | 0.079 |
| 3 | AMZN | Amazon | 0.068 |
| 4 | MA | Mastercard | 0.058 |
| 5 | AXP | American Express | 0.057 |
| 6 | TTD | The Trade Desk | 0.053 |
| 7 | PSA | Public Storage | 0.053 |
| 8 | EXC | Exelon | 0.052 |
| 9 | CF | CF Industries | 0.051 |
| 10 | SCCO | Southern Copper | 0.051 |
| 11 | WEC | WEC Energy | 0.050 |
| 12 | DD | DuPont | 0.050 |
| 13 | NXPI | NXP Semiconductors | 0.045 |
| 14 | MO | Altria | 0.045 |
| 15 | AVGO | Broadcom | 0.045 |
| 16 | ATO | Atmos Energy | 0.044 |
| 17 | GIS | General Mills | 0.043 |
| 18 | LII | Lennox International | 0.043 |
| 19 | ROKU | Roku | 0.042 |
| 20 | GE | GE Aerospace | 0.040 |
| 21 | PLD | Prologis | 0.040 |
| 22 | MELI | MercadoLibre | 0.039 |
| 23 | WMT | Walmart | 0.039 |
| 24 | DUK | Duke Energy | 0.039 |
| 25 | MDT | Medtronic | 0.038 |
| 26 | CI | Cigna | 0.038 |
| 27 | WDAY | Workday | 0.038 |
| 28 | DAL | Delta Air Lines | 0.038 |
| 29 | ADM | Archer-Daniels-Midland | 0.036 |
| 30 | APD | Air Products | 0.036 |
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.