SNT009Factor HubSentiment FactorsHigh
News Sentiment Factor
Media and social mentions with tone: hot names mean-revert after the spike.
Formula
MediaHeat = MentionFreq * SentimentScorePerformance (Top-30 equal-weight long, monthly rebalance)
Annualized return
7.18%
Sharpe ratio
0.46
Max drawdown
-32.27%
Total return
100.14%
Cumulative performance（2016-09 … 2026-08）
2016 -10.1%2017 -10.3%2018 -1.9%2019 +15.6%2020 +43.0%2021 +5.3%2022 +40.0%2023 -1.4%2024 -5.8%2025 +0.0%2026 +11.7%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | AZO | AutoZone | 3.749 |
| 2 | MET | MetLife | 3.731 |
| 3 | VRTX | Vertex Pharmaceuticals | 3.729 |
| 4 | FRT | Federal Realty | 3.725 |
| 5 | PPL | PPL Corporation | 3.722 |
| 6 | PG | Procter & Gamble | 3.697 |
| 7 | AVGO | Broadcom | 3.694 |
| 8 | SJM | J.M. Smucker | 3.684 |
| 9 | COST | Costco | 3.681 |
| 10 | DDOG | Datadog | 3.680 |
| 11 | UNP | Union Pacific | 3.677 |
| 12 | MRK | Merck | 3.674 |
| 13 | LEN | Lennar | 3.672 |
| 14 | AMAT | Applied Materials | 3.663 |
| 15 | MDLZ | Mondelez | 3.657 |
| 16 | COF | Capital One | 3.650 |
| 17 | NUE | Nucor | 3.644 |
| 18 | CI | Cigna | 3.627 |
| 19 | VLO | Valero Energy | 3.616 |
| 20 | TJX | TJX Companies | 3.605 |
| 21 | SHW | Sherwin-Williams | 3.605 |
| 22 | HD | Home Depot | 3.600 |
| 23 | XEL | Xcel Energy | 3.574 |
| 24 | FANG | Diamondback Energy | 3.568 |
| 25 | RCL | Royal Caribbean | 3.567 |
| 26 | BKR | Baker Hughes | 3.546 |
| 27 | BHP | BHP | 3.528 |
| 28 | CF | CF Industries | 3.509 |
| 29 | KHC | Kraft Heinz | 3.504 |
| 30 | VICI | VICI Properties | 3.481 |
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.