Liquidity factor

Average daily dollar volume over the past 63 trading days divided by market capitalization. Part of FactorPulse's FPUS1 model (Style).

The exposure shown is this measure standardized across stocks and taken net of the market and of International, Beta, Size, Long-Term Momentum and Residual Volatility (position 6 of 18 style factors).

Oct 28, 2026
+0.17%
vs. 1-year daily volatility
z = +0.5
1M
-0.48%
3M
+2.30%
YTD
+0.41%
1Y
-4.45%

Last 12 months

simulated-10.0%-7.5%-5.0%-2.5%0.0%Oct 25Dec 25Feb 26Apr 26Jun 26Aug 26Oct 26
Cumulative return (sum of daily returns) of the Liquidity factor portfolio, through Oct 28, 2026.

Full history

simulated history-10%0%10%20%30%2020202120222023202420252026
Since Jan 02, 2020. The shaded period is simulated history.

History before Jul 15, 2026 is simulated: it was regenerated on that date with the methodology adopted then, not recorded live, and charts shade that period. Later changes apply from their dates forward; see the revision log. Point-in-time risk forecasts begin Jul 30, 2026.

Statistics

PeriodReturnVolatility (ann.)Return / riskMax drawdown
1M-0.48%4.0%-1.44-0.95%
3M+2.30%3.8%+2.40-1.17%
YTD+0.41%5.4%+0.09-4.65%
1Y-4.45%5.6%-0.80-8.11%
Since Jul 2026 (live)+2.41%5.4%+1.51-2.07%
Since 2020 (incl. simulated)+24.44%4.6%+0.78-8.46%

Returns are summed daily long/short factor returns before costs. Volatility and return/risk are annualized from daily data. Each factor is measured net of other factors (see above), so its return can differ from familiar indexes built on the same idea. Section 9 of the methodology (Empirical Factor Behavior) discusses each factor's realized return.

Large companies most and least exposed today

Among the 500 largest US-listed companies (market cap above $26B). Exposure is in standard deviations across about 2,000 stocks, net of the factors ranked ahead of it. When the factor return is positive, high liquidity outperforms; when it is negative, low liquidity outperforms. Exposures are capped; where 3 share the cap of +5.00, they are ranked by uncapped exposure.

Highest exposure

  1. Sandisk Corporation SNDK +5.00 · $203B
  2. Nebius Group N.V. NBIS +5.00 · $50B
  3. CoreWeave, Inc. CRWV +5.00 · $35B
  4. Cerebras Systems Inc. CBRS +4.13 · $27B
  5. Lumentum Holdings Inc. LITE +3.99 · $83B
  6. Bloom Energy Corporation BE +3.65 · $67B
  7. Strategy Inc MSTR +3.31 · $61B
  8. Reddit, Inc. RDDT +2.43 · $26B
  9. Coinbase Global, Inc. COIN +2.40 · $43B
  10. Moderna, Inc. MRNA +2.36 · $86B

Lowest exposure

  1. Bending Spoons S.p.A. BSP -3.52 · $30B
  2. Banco Bradesco S.A. BBD -2.62 · $31B
  3. Flex Ltd. FLEX -2.30 · $34B
  4. Ubiquiti Inc. UI -2.00 · $36B
  5. Itau Unibanco Holding S.A. ITUB -1.92 · $82B
  6. Everpure, Inc. P -1.80 · $46B
  7. Banco Santander (Brasil) Sa BSBR -1.79 · $34B
  8. Arm Holdings plc ARM -1.69 · $252B
  9. SK hynix Inc. SKHY -1.67 · $1.2T
  10. Genmab A/S ADS GMAB -1.66 · $35B

What it moves with

Most positively correlated factors (1 year)

  1. Bitcoin / Crypto +0.58
  2. Residual Volatility +0.58
  3. Oil +0.39

Most negatively correlated factors

  1. Value -0.25
  2. Profitability -0.25
  3. Medium-Term Momentum -0.22

Correlation with ETFs

ETF1 year3 months
SPY S&P 500+0.09+0.06
IWM Small caps+0.11+0.26
TLT Long Treasuries-0.06+0.15
USO Oil+0.16-0.03
SMH Semiconductors+0.09+0.17
GLD Gold+0.02-0.06
XLU Utilities-0.02+0.18
BITO Bitcoin futures+0.36+0.06
KWEB China internet+0.04-0.11

← All FPUS1 factors