RSK001因子集市风险因子低风险
波动率因子
做多低波动股票：风险厌恶与彩票偏好使低波组合风险调整后更优。
计算公式
VOL = -std(R_daily, 60)历史绩效（Top30 等权多头，月度调仓）
年化收益
5.04%
夏普比率
0.46
最大回撤
-19.17%
累计收益
63.56%
累计净值（2016-09 … 2026-08）
2016 -2.5%2017 -2.8%2018 +8.6%2019 +10.5%2020 +10.8%2021 -7.8%2022 +23.7%2023 -11.1%2024 +17.7%2025 +4.7%2026 +3.9%
当前 Top30 持仓
| # | Ticker | 公司 | 得分 |
|---|---|---|---|
| 1 | ED | Consolidated Edison | -0.008 |
| 2 | MAA | Mid-America Apartment | -0.008 |
| 3 | BRK.B | Berkshire Hathaway | -0.008 |
| 4 | XEL | Xcel Energy | -0.008 |
| 5 | UDR | UDR | -0.008 |
| 6 | PPL | PPL Corporation | -0.008 |
| 7 | REG | Regency Centers | -0.008 |
| 8 | ATO | Atmos Energy | -0.008 |
| 9 | KIM | Kimco Realty | -0.009 |
| 10 | O | Realty Income | -0.009 |
| 11 | KO | Coca-Cola | -0.009 |
| 12 | COST | Costco | -0.009 |
| 13 | LIN | Linde | -0.009 |
| 14 | WEC | WEC Energy | -0.009 |
| 15 | JNJ | Johnson & Johnson | -0.009 |
| 16 | AEE | Ameren | -0.009 |
| 17 | DUK | Duke Energy | -0.009 |
| 18 | SO | Southern Company | -0.009 |
| 19 | MA | Mastercard | -0.010 |
| 20 | NEE | NextEra Energy | -0.010 |
| 21 | PEP | PepsiCo | -0.010 |
| 22 | BAC | Bank of America | -0.010 |
| 23 | VICI | VICI Properties | -0.010 |
| 24 | EPR | EPR Properties | -0.010 |
| 25 | CMS | CMS Energy | -0.010 |
| 26 | PG | Procter & Gamble | -0.010 |
| 27 | ABBV | AbbVie | -0.010 |
| 28 | PEG | Public Service Enterprise | -0.010 |
| 29 | MDLZ | Mondelez | -0.010 |
| 30 | V | Visa | -0.010 |
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。