VAL001Factor HubValue FactorsLow
PE Factor
Ranks stocks by trailing P/E and goes long the cheapest decile — the classic value screen.
Formula
Score = -PE_TTMPerformance (Top-30 equal-weight long, monthly rebalance)
Annualized return
0.60%
Sharpe ratio
0.12
Max drawdown
-35.17%
Total return
6.17%
Cumulative performance（2016-09 … 2026-08）
2016 -11.5%2017 -12.9%2018 -5.6%2019 +31.2%2020 +18.8%2021 -0.9%2022 +20.1%2023 -13.4%2024 +4.2%2025 -18.4%2026 +6.7%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | AEP | American Electric Power | -0.398 |
| 2 | TER | Teradyne | -0.597 |
| 3 | DELL | Dell Technologies | -1.316 |
| 4 | PCAR | Paccar | -1.604 |
| 5 | EBAY | eBay | -2.624 |
| 6 | TGT | Target | -3.523 |
| 7 | SMCI | Super Micro Computer | -5.069 |
| 8 | XEL | Xcel Energy | -5.362 |
| 9 | CVS | CVS Health | -5.413 |
| 10 | FCX | Freeport-McMoRan | -6.587 |
| 11 | LEN | Lennar | -7.764 |
| 12 | CMG | Chipotle Mexican Grill | -8.040 |
| 13 | PCG | PG&E | -8.929 |
| 14 | GM | General Motors | -10.296 |
| 15 | WMB | Williams Companies | -10.308 |
| 16 | KLAC | KLA | -11.566 |
| 17 | EL | Estee Lauder | -13.073 |
| 18 | SHW | Sherwin-Williams | -14.177 |
| 19 | CDNS | Cadence | -16.646 |
| 20 | F | Ford Motor | -17.203 |
| 21 | CL | Colgate-Palmolive | -21.348 |
| 22 | GLW | Corning | -21.416 |
| 23 | PEP | PepsiCo | -22.561 |
| 24 | ZS | Zscaler | -28.318 |
| 25 | MU | Micron Technology | -30.388 |
| 26 | LII | Lennox International | -31.397 |
| 27 | REGN | Regeneron | -31.590 |
| 28 | CSX | CSX | -33.959 |
| 29 | FANG | Diamondback Energy | -35.568 |
| 30 | PH | Parker Hannifin | -35.854 |
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.