VAL017Factor HubValue FactorsLow
Relative Value Factor
Compares a stock's multiple against its own history and its sector to spot mean reversion.
Formula
RelVal = (PE_now/PE_hist_avg + PE_now/PE_ind_avg) / 2Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
12.45%
Sharpe ratio
0.76
Max drawdown
-25.76%
Total return
223.36%
Cumulative performance（2016-09 … 2026-08）
2016 -0.9%2017 -2.6%2018 -4.8%2019 +31.4%2020 +46.7%2021 +20.9%2022 +22.4%2023 -1.5%2024 +13.3%2025 +1.4%2026 +9.0%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | GIS | General Mills | 82.825 |
| 2 | UNP | Union Pacific | 67.728 |
| 3 | XOM | Exxon Mobil | 60.064 |
| 4 | FE | FirstEnergy | 59.979 |
| 5 | SO | Southern Company | 52.059 |
| 6 | HPQ | HP | 44.531 |
| 7 | ADBE | Adobe | 38.369 |
| 8 | ITW | ITW | 34.795 |
| 9 | RTX | RTX Corp | 31.137 |
| 10 | AEE | Ameren | 17.952 |
| 11 | KO | Coca-Cola | 17.579 |
| 12 | DOW | Dow | 17.144 |
| 13 | SRE | Sempra | 13.389 |
| 14 | AVGO | Broadcom | 12.694 |
| 15 | NVDA | NVIDIA | 12.662 |
| 16 | DD | DuPont | 7.392 |
| 17 | LLY | Eli Lilly | 7.382 |
| 18 | AMZN | Amazon | 7.323 |
| 19 | TRV | Travelers | 7.087 |
| 20 | MCHP | Microchip Technology | 5.893 |
| 21 | VLO | Valero Energy | 5.658 |
| 22 | NFLX | Netflix | 5.571 |
| 23 | BHP | BHP | 5.503 |
| 24 | UNH | UnitedHealth | 5.444 |
| 25 | ECL | Ecolab | 5.278 |
| 26 | PRU | Prudential Financial | 4.697 |
| 27 | SLB | SLB | 4.624 |
| 28 | NUE | Nucor | 4.472 |
| 29 | ISRG | Intuitive Surgical | 4.261 |
| 30 | ENTG | Entegris | 4.219 |
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.