VAL011Factor HubValue FactorsMedium
Book-to-Price Factor
Book-to-market ratio — the raw material of the HML leg in the Fama-French three-factor model.
Formula
BP = 净资产 / 总市值Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
2.69%
Sharpe ratio
0.24
Max drawdown
-36.68%
Total return
30.34%
Cumulative performance（2016-09 … 2026-08）
2016 -6.2%2017 -14.2%2018 -9.8%2019 +27.7%2020 +23.1%2021 +4.1%2022 +31.4%2023 -15.7%2024 +6.6%2025 -9.7%2026 +3.0%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | AEP | American Electric Power | 8236.309 |
| 2 | TER | Teradyne | 619.374 |
| 3 | XEL | Xcel Energy | 198.632 |
| 4 | PCG | PG&E | 125.951 |
| 5 | EBAY | eBay | 104.535 |
| 6 | PCAR | Paccar | 81.986 |
| 7 | SHW | Sherwin-Williams | 58.950 |
| 8 | DELL | Dell Technologies | 55.185 |
| 9 | GM | General Motors | 44.758 |
| 10 | CVS | CVS Health | 42.872 |
| 11 | EL | Estee Lauder | 40.513 |
| 12 | LEN | Lennar | 36.446 |
| 13 | SMCI | Super Micro Computer | 35.683 |
| 14 | MU | Micron Technology | 35.041 |
| 15 | USB | U.S. Bancorp | 26.358 |
| 16 | KLAC | KLA | 23.349 |
| 17 | WMB | Williams Companies | 23.151 |
| 18 | PEP | PepsiCo | 18.922 |
| 19 | F | Ford Motor | 17.840 |
| 20 | REGN | Regeneron | 16.098 |
| 21 | EIX | Edison International | 14.782 |
| 22 | CL | Colgate-Palmolive | 14.707 |
| 23 | EXC | Exelon | 14.555 |
| 24 | PPG | PPG Industries | 14.225 |
| 25 | PSA | Public Storage | 14.198 |
| 26 | VRTX | Vertex Pharmaceuticals | 14.145 |
| 27 | SYK | Stryker | 13.852 |
| 28 | LII | Lennox International | 12.755 |
| 29 | GLW | Corning | 12.540 |
| 30 | OXY | Occidental Petroleum | 11.957 |
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.