These are Ken French TOTAL-US-MARKET academic factor portfolios (value-weighted long/short, 1926/1963+), NOT our S&P-1500 winsorized z-score quintiles. A month's seasonal tendency describes the long-run CLIMATE of the style — it is not a forecast of our daily factor leadership, and it is deliberately kept out of every calibrated score.这些是 Ken French 的全市场学术因子组合（市值加权多空，1926/1963 年至今），并非我们对标普 1500 的去极值 z 分数分位。某月的季节性倾向描述的是该风格的长期气候，而非对我们每日因子领先的预测，且刻意不纳入任何校准评分。
July7月 · July is usually a rough month for the market's recent winners — the momentum style fell in 7 of the last 10 Julys, including the last 5 straight, while the market itself was up in 100% of them.7月通常是市场近期赢家的困难月份——动量风格在过去 10 个7月中下跌了 7 次（含连续 5 年），而大盘在其中 100% 的时间上涨。
Watch — don't chase this month's hottest stocks.观望——本月不要追逐最热门的股票。
| Factor因子 | J | F | M | A | M | J | J | A | S | O | N | D |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Value (HML)价值 (HML) | +0.540% | +0.540% | -1.540% | -0.130% | -1.320% | -2.410% | +0.140% | -0.830% | +0.750% | +1.670% | +1.570% | +1.170% |
| Profitability (RMW)盈利 (RMW) | -0.830% | -0.070% | +0.860% | +0.670% | -0.260% | -0.070% | +0.860% | +0.150% | -0.640% | +0.370% | +0.840% | +0.570% |
| Investment (CMA)投资 (CMA) | -0.030% | -0.330% | +0.550% | -0.430% | -0.740% | -0.550% | -0.850% | -0.730% | +0.250% | +0.040% | +0.760% | +1.270% |
| Momentum (Mom)动量 (Mom) ref参考 | -0.260% | +0.260% | +0.140% | +1.470% | +2.090% | -0.340% | -0.630% | +2.380% | +0.560% | +1.280% | -2.130% | -1.020% |
| Size (SMB)规模 (SMB) ref参考 | -0.340% | +0.170% | -1.730% | -0.840% | +0.350% | +1.090% | +0.250% | -0.440% | -0.140% | -1.430% | +1.150% | +0.240% |
| Market (Mkt-RF)市场 (Mkt-RF) ref参考 | +2.170% | -0.540% | -1.460% | +1.970% | +1.880% | +1.980% | +3.3100% | +0.970% | -1.360% | +0.550% | +4.480% | -0.160% |
| Factor因子 | J | F | M | A | M | J | J | A | S | O | N | D |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Value (HML)价值 (HML) | -0.443% | +0.447% | +0.560% | +0.653% | -0.237% | -1.430% | +0.643% | +0.147% | +0.353% | +0.250% | +0.450% | +0.967% |
| Profitability (RMW)盈利 (RMW) | -0.737% | +0.153% | +0.867% | +0.873% | -0.057% | +0.367% | +1.170% | +0.047% | +0.353% | +0.453% | +0.557% | +0.063% |
| Investment (CMA)投资 (CMA) | -0.043% | +0.540% | +0.350% | +0.147% | -0.050% | -0.733% | +0.160% | +0.243% | -0.047% | +0.360% | +0.753% | +0.667% |
| Momentum (Mom)动量 (Mom) ref参考 | -0.963% | +1.657% | +0.260% | -1.950% | -0.163% | +2.070% | +0.550% | +0.653% | +1.767% | +0.357% | -0.760% | +1.057% |
| Size (SMB)规模 (SMB) ref参考 | +0.457% | +0.453% | -0.850% | -0.640% | +0.253% | +1.680% | -0.940% | -0.147% | -0.143% | -0.937% | +0.553% | +0.747% |
| Market (Mkt-RF)市场 (Mkt-RF) ref参考 | +0.357% | -0.147% | +0.667% | +1.870% | +0.867% | +0.560% | +1.060% | -0.460% | -0.757% | +1.463% | +2.680% | +1.067% |
| Factor因子 | J | F | M | A | M | J | J | A | S | O | N | D |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Value (HML)价值 (HML) | +1.971% | +0.555% | +0.251% | +0.858% | -0.146% | -0.249% | +1.055% | +0.551% | -0.149% | -0.150% | -0.244% | -0.050% |
| Profitability (RMW)盈利 (RMW) | -1.030% | +0.052% | +0.556% | +0.768% | +0.362% | +0.361% | +0.760% | +0.149% | +0.360% | +0.559% | +0.454% | +0.260% |
| Investment (CMA)投资 (CMA) | +0.656% | +0.649% | +0.556% | +0.251% | -0.246% | -0.245% | +0.360% | +0.349% | +0.254% | +0.251% | +0.254% | +0.356% |
| Momentum (Mom)动量 (Mom) ref参考 | -1.544% | +1.163% | +1.168% | +0.265% | +0.765% | +1.065% | -0.052% | -0.157% | +1.170% | +0.965% | +0.865% | +2.274% |
| Size (SMB)规模 (SMB) ref参考 | +1.972% | +0.662% | -0.054% | -0.244% | +0.349% | +0.148% | -0.443% | -0.149% | +0.253% | -0.840% | +0.348% | +0.046% |
| Market (Mkt-RF)市场 (Mkt-RF) ref参考 | +1.262% | +0.355% | +0.463% | +1.162% | +0.463% | +0.756% | +1.460% | +0.962% | -1.148% | +0.255% | +1.568% | +1.376% |
Source: Ken French Data Library (Dartmouth), monthly factor returns, as of 2026-05. Factors mapping to one of our live legs (Value→HML, Profitability→RMW, Investment→CMA) are shown first; Momentum, Size and Market are reference styles we do not rank cross-sectionally. Seasonality is descriptive context only and is deliberately kept out of every calibrated score — see LIMITATIONS.md.来源：Ken French Data Library (Dartmouth), monthly factor returns，截至 2026-05。映射到我们在用因子的（价值→HML、盈利→RMW、投资→CMA）排在前面；动量、规模与市场为我们未做横截面排名的参考风格。季节性仅为描述性背景，刻意不纳入任何校准评分 — 参见 LIMITATIONS.md。 Generated生成于 2026-07-21 02:20 UTC