SNT011Factor HubSentiment FactorsHigh
Fear Index Factor
Implied-volatility and put volume distilled into one fear gauge.
Formula
Fear = iVIX_rank * PutVolRatioPerformance (Top-30 equal-weight long, monthly rebalance)
Annualized return
6.15%
Sharpe ratio
0.38
Max drawdown
-38.32%
Total return
81.59%
Cumulative performance（2016-09 … 2026-08）
2016 -13.9%2017 -17.8%2018 +5.7%2019 +29.3%2020 +32.9%2021 +5.4%2022 +28.6%2023 -9.8%2024 -6.6%2025 +8.4%2026 +14.1%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | SMCI | Super Micro Computer | 132.406 |
| 2 | DELL | Dell Technologies | 105.470 |
| 3 | MU | Micron Technology | 99.970 |
| 4 | AMD | Advanced Micro Devices | 95.499 |
| 5 | MRVL | Marvell Technology | 93.516 |
| 6 | GLW | Corning | 92.291 |
| 7 | DDOG | Datadog | 92.151 |
| 8 | ON | ON Semiconductor | 91.560 |
| 9 | ZS | Zscaler | 85.739 |
| 10 | AMC | AMC Entertainment | 84.740 |
| 11 | TER | Teradyne | 84.175 |
| 12 | ENTG | Entegris | 83.700 |
| 13 | AMAT | Applied Materials | 81.028 |
| 14 | NOW | ServiceNow | 76.195 |
| 15 | LRCX | Lam Research | 75.509 |
| 16 | RCL | Royal Caribbean | 74.897 |
| 17 | KLAC | KLA | 71.541 |
| 18 | MDB | MongoDB | 71.076 |
| 19 | DOW | Dow | 69.575 |
| 20 | PLTR | Palantir | 69.347 |
| 21 | CRM | Salesforce | 69.111 |
| 22 | DASH | DoorDash | 68.990 |
| 23 | ETSY | Etsy | 67.242 |
| 24 | SNOW | Snowflake | 67.233 |
| 25 | CF | CF Industries | 66.670 |
| 26 | CHTR | Charter Communications | 66.615 |
| 27 | QCOM | Qualcomm | 64.872 |
| 28 | WDAY | Workday | 64.447 |
| 29 | HPQ | HP | 63.498 |
| 30 | SOFI | SoFi Technologies | 63.389 |
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.