VAL006因子集市价值因子中风险
EV/EBITDA因子
以企业价值与息税折旧摊销前利润之比估值，剔除资本结构与折旧政策差异。
计算公式
EV/EBITDA = (总市值 + 净负债) / EBITDA历史绩效（Top30 等权多头，月度调仓）
年化收益
10.24%
夏普比率
0.60
最大回撤
-32.54%
累计收益
165.02%
累计净值（2016-09 … 2026-08）
2016 -6.5%2017 -13.5%2018 -3.5%2019 +24.6%2020 +35.5%2021 +8.2%2022 +38.9%2023 +6.0%2024 +11.3%2025 +11.6%2026 +1.6%
当前 Top30 持仓
| # | Ticker | 公司 | 得分 |
|---|---|---|---|
| 1 | AAPL | Apple | 1175347.914 |
| 2 | MSFT | Microsoft | 732950.593 |
| 3 | GOOGL | Alphabet | 383134.787 |
| 4 | XOM | Exxon Mobil | 265762.880 |
| 5 | NVO | Novo Nordisk | 257211.600 |
| 6 | AVGO | Broadcom | 209270.960 |
| 7 | RTX | RTX Corp | 203072.336 |
| 8 | META | Meta Platforms | 159531.167 |
| 9 | BAC | Bank of America | 133014.943 |
| 10 | ITW | ITW | 121737.651 |
| 11 | NFLX | Netflix | 99552.791 |
| 12 | ORLY | O'Reilly Automotive | 89841.969 |
| 13 | WMT | Walmart | 88828.004 |
| 14 | V | Visa | 87553.852 |
| 15 | PG | Procter & Gamble | 75489.569 |
| 16 | UNH | UnitedHealth | 65881.014 |
| 17 | NOW | ServiceNow | 60757.727 |
| 18 | GD | General Dynamics | 39219.305 |
| 19 | HD | Home Depot | 25192.741 |
| 20 | JNJ | Johnson & Johnson | 23879.783 |
| 21 | SO | Southern Company | 21679.139 |
| 22 | MS | Morgan Stanley | 20132.029 |
| 23 | CRM | Salesforce | 19544.909 |
| 24 | FE | FirstEnergy | 16757.037 |
| 25 | SPOT | Spotify | 13498.039 |
| 26 | IBM | IBM | 10640.141 |
| 27 | TJX | TJX Companies | 9372.019 |
| 28 | MCD | McDonald's | 9202.705 |
| 29 | PGR | Progressive | 8299.115 |
| 30 | CSCO | Cisco Systems | 7012.455 |
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。