VAL004Factor HubValue FactorsHigh
Market Cap Factor
Long small caps against large caps to harvest the size premium embedded in liquidity pricing.
Formula
Score = -Total_MVPerformance (Top-30 equal-weight long, monthly rebalance)
Annualized return
4.06%
Sharpe ratio
0.31
Max drawdown
-34.44%
Total return
48.86%
Cumulative performance（2016-09 … 2026-08）
2016 -10.0%2017 -11.1%2018 -1.2%2019 +40.3%2020 +17.0%2021 +14.6%2022 +28.0%2023 -5.2%2024 -2.4%2025 -13.4%2026 -2.5%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | TER | Teradyne | -0.032 |
| 2 | EBAY | eBay | -0.448 |
| 3 | XEL | Xcel Energy | -0.497 |
| 4 | PCG | PG&E | -0.534 |
| 5 | AEP | American Electric Power | -0.612 |
| 6 | CE | Celanese | -0.760 |
| 7 | PCAR | Paccar | -0.785 |
| 8 | CMG | Chipotle Mexican Grill | -0.818 |
| 9 | EL | Estee Lauder | -0.994 |
| 10 | LEN | Lennar | -1.056 |
| 11 | TSN | Tyson Foods | -1.212 |
| 12 | GM | General Motors | -1.222 |
| 13 | SHW | Sherwin-Williams | -1.292 |
| 14 | CDNS | Cadence | -1.302 |
| 15 | PPL | PPL Corporation | -1.477 |
| 16 | SJM | J.M. Smucker | -1.676 |
| 17 | UDR | UDR | -1.972 |
| 18 | EIX | Edison International | -2.001 |
| 19 | KIM | Kimco Realty | -2.362 |
| 20 | F | Ford Motor | -2.371 |
| 21 | SMCI | Super Micro Computer | -2.515 |
| 22 | DELL | Dell Technologies | -2.661 |
| 23 | ED | Consolidated Edison | -2.906 |
| 24 | STLD | Steel Dynamics | -3.048 |
| 25 | EPR | EPR Properties | -3.284 |
| 26 | PPG | PPG Industries | -3.482 |
| 27 | LII | Lennox International | -3.568 |
| 28 | TPL | Texas Pacific Land | -3.586 |
| 29 | WMB | Williams Companies | -4.341 |
| 30 | FANG | Diamondback Energy | -4.357 |
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.