VAL002Factor HubValue FactorsLow
PB Factor
Uses price-to-book to find companies trading below the market's estimate of their net assets.
Formula
Score = -PBPerformance (Top-30 equal-weight long, monthly rebalance)
Annualized return
3.65%
Sharpe ratio
0.29
Max drawdown
-32.12%
Total return
43.14%
Cumulative performance（2016-09 … 2026-08）
2016 -8.5%2017 -11.7%2018 -7.4%2019 +39.5%2020 +11.0%2021 +1.4%2022 +26.6%2023 -6.8%2024 +5.9%2025 -14.2%2026 +13.6%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | AEP | American Electric Power | -0.001 |
| 2 | TER | Teradyne | -0.002 |
| 3 | DELL | Dell Technologies | -0.003 |
| 4 | PCAR | Paccar | -0.004 |
| 5 | EBAY | eBay | -0.006 |
| 6 | TGT | Target | -0.006 |
| 7 | XEL | Xcel Energy | -0.007 |
| 8 | PCG | PG&E | -0.009 |
| 9 | CVS | CVS Health | -0.009 |
| 10 | FCX | Freeport-McMoRan | -0.015 |
| 11 | SMCI | Super Micro Computer | -0.016 |
| 12 | WMB | Williams Companies | -0.017 |
| 13 | SHW | Sherwin-Williams | -0.022 |
| 14 | GM | General Motors | -0.025 |
| 15 | EL | Estee Lauder | -0.026 |
| 16 | LEN | Lennar | -0.029 |
| 17 | CMG | Chipotle Mexican Grill | -0.031 |
| 18 | PEP | PepsiCo | -0.041 |
| 19 | FANG | Diamondback Energy | -0.052 |
| 20 | KLAC | KLA | -0.052 |
| 21 | PSA | Public Storage | -0.055 |
| 22 | F | Ford Motor | -0.058 |
| 23 | REGN | Regeneron | -0.067 |
| 24 | EIX | Edison International | -0.068 |
| 25 | MU | Micron Technology | -0.070 |
| 26 | VICI | VICI Properties | -0.071 |
| 27 | PPG | PPG Industries | -0.073 |
| 28 | GLW | Corning | -0.073 |
| 29 | CL | Colgate-Palmolive | -0.074 |
| 30 | CDNS | Cadence | -0.075 |
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.