VAL014Factor HubValue FactorsMedium
Implied Value Factor
Compares option-implied fair values with spot prices to read the derivative market's verdict.
Formula
ImpliedVal = OptionImpliedPrice / MarketPrice - 1Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
5.55%
Sharpe ratio
0.38
Max drawdown
-21.20%
Total return
71.64%
Cumulative performance（2016-09 … 2026-08）
2016 -0.7%2017 +0.9%2018 -0.6%2019 +11.6%2020 +26.7%2021 -0.2%2022 +27.3%2023 +2.3%2024 -5.5%2025 +1.6%2026 -2.4%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | KLAC | KLA | 0.170 |
| 2 | ZS | Zscaler | 0.170 |
| 3 | META | Meta Platforms | 0.170 |
| 4 | LIN | Linde | 0.168 |
| 5 | GD | General Dynamics | 0.167 |
| 6 | AEE | Ameren | 0.167 |
| 7 | ROKU | Roku | 0.167 |
| 8 | NKE | Nike | 0.166 |
| 9 | MDLZ | Mondelez | 0.166 |
| 10 | TXN | Texas Instruments | 0.165 |
| 11 | NET | Cloudflare | 0.165 |
| 12 | ABBV | AbbVie | 0.165 |
| 13 | USB | U.S. Bancorp | 0.165 |
| 14 | AXP | American Express | 0.164 |
| 15 | GM | General Motors | 0.163 |
| 16 | AAPL | Apple | 0.162 |
| 17 | OTIS | Otis Worldwide | 0.162 |
| 18 | EBAY | eBay | 0.161 |
| 19 | BRK.B | Berkshire Hathaway | 0.161 |
| 20 | PPL | PPL Corporation | 0.161 |
| 21 | EQIX | Equinix | 0.161 |
| 22 | PGR | Progressive | 0.160 |
| 23 | FDX | FedEx | 0.160 |
| 24 | CCI | Crown Castle | 0.159 |
| 25 | MAA | Mid-America Apartment | 0.159 |
| 26 | FANG | Diamondback Energy | 0.158 |
| 27 | NVDA | NVIDIA | 0.158 |
| 28 | ED | Consolidated Edison | 0.158 |
| 29 | CRM | Salesforce | 0.158 |
| 30 | DVN | Devon Energy | 0.157 |
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.