COM002因子集市复合因子低风险
低波红利复合因子
高股息与低波动组合，构建防御型红利底仓。
计算公式
Score = DividendYield / AnnualizedVol历史绩效（Top30 等权多头，月度调仓）
年化收益
10.31%
夏普比率
0.73
最大回撤
-24.71%
累计收益
166.73%
累计净值（2016-09 … 2026-08）
2016 -3.4%2017 -8.6%2018 +4.0%2019 +19.7%2020 +14.3%2021 -1.2%2022 +28.6%2023 -3.4%2024 +18.4%2025 +28.7%2026 +13.6%
当前 Top30 持仓
| # | Ticker | 公司 | 得分 |
|---|---|---|---|
| 1 | REG | Regency Centers | 0.749 |
| 2 | O | Realty Income | 0.743 |
| 3 | FRT | Federal Realty | 0.647 |
| 4 | KIM | Kimco Realty | 0.633 |
| 5 | AEE | Ameren | 0.610 |
| 6 | MAA | Mid-America Apartment | 0.604 |
| 7 | SPG | Simon Property Group | 0.592 |
| 8 | EPR | EPR Properties | 0.581 |
| 9 | PLD | Prologis | 0.554 |
| 10 | LNG | Cheniere Energy | 0.544 |
| 11 | CVX | Chevron | 0.541 |
| 12 | WELL | Welltower | 0.541 |
| 13 | VICI | VICI Properties | 0.532 |
| 14 | PPL | PPL Corporation | 0.521 |
| 15 | ED | Consolidated Edison | 0.520 |
| 16 | DUK | Duke Energy | 0.520 |
| 17 | PSA | Public Storage | 0.509 |
| 18 | XEL | Xcel Energy | 0.506 |
| 19 | CCI | Crown Castle | 0.500 |
| 20 | BRK.B | Berkshire Hathaway | 0.488 |
| 21 | XOM | Exxon Mobil | 0.485 |
| 22 | PEP | PepsiCo | 0.484 |
| 23 | FE | FirstEnergy | 0.484 |
| 24 | UDR | UDR | 0.481 |
| 25 | SO | Southern Company | 0.471 |
| 26 | NEE | NextEra Energy | 0.448 |
| 27 | CMS | CMS Energy | 0.446 |
| 28 | ATO | Atmos Energy | 0.441 |
| 29 | EXC | Exelon | 0.440 |
| 30 | DLR | Digital Realty | 0.434 |
按上方公式在确定性研究面板最近月末观测（2026-08）计算的截面 Top30。
数据导出
导出包含公式、绩效统计、120 个月序列与当前持仓——本地复刻所需的一切。