RSK006因子集市风险因子低风险
下行波动因子
只统计下跌期的波动率，聚焦真正伤害组合的下行风险。
计算公式
Score = -std(negative_returns, 60d)历史绩效（Top30 等权多头，月度调仓）
年化收益
6.35%
夏普比率
0.52
最大回撤
-20.42%
累计收益
85.03%
累计净值（2016-09 … 2026-08）
2016 -4.3%2017 -2.0%2018 +0.6%2019 +23.0%2020 +19.4%2021 -2.5%2022 +29.5%2023 -15.4%2024 +12.5%2025 +11.5%2026 -0.4%
当前 Top30 持仓
| # | Ticker | 公司 | 得分 |
|---|---|---|---|
| 1 | MAA | Mid-America Apartment | -0.003 |
| 2 | ED | Consolidated Edison | -0.003 |
| 3 | LIN | Linde | -0.004 |
| 4 | JNJ | Johnson & Johnson | -0.004 |
| 5 | BRK.B | Berkshire Hathaway | -0.004 |
| 6 | UDR | UDR | -0.004 |
| 7 | REG | Regency Centers | -0.004 |
| 8 | BAC | Bank of America | -0.004 |
| 9 | VZ | Verizon | -0.004 |
| 10 | OTIS | Otis Worldwide | -0.004 |
| 11 | DUK | Duke Energy | -0.004 |
| 12 | COST | Costco | -0.005 |
| 13 | MA | Mastercard | -0.005 |
| 14 | YUM | Yum Brands | -0.005 |
| 15 | WMB | Williams Companies | -0.005 |
| 16 | WEC | WEC Energy | -0.005 |
| 17 | AEE | Ameren | -0.005 |
| 18 | PPL | PPL Corporation | -0.005 |
| 19 | KIM | Kimco Realty | -0.005 |
| 20 | GD | General Dynamics | -0.005 |
| 21 | O | Realty Income | -0.005 |
| 22 | VICI | VICI Properties | -0.005 |
| 23 | PEG | Public Service Enterprise | -0.005 |
| 24 | CMS | CMS Energy | -0.005 |
| 25 | PLD | Prologis | -0.005 |
| 26 | KO | Coca-Cola | -0.005 |
| 27 | AXP | American Express | -0.005 |
| 28 | PG | Procter & Gamble | -0.005 |
| 29 | D | Dominion Energy | -0.005 |
| 30 | WELL | Welltower | -0.005 |
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。