A-Share Factor Data: Fundamentals, Trading Activity, Returns, and Rankings
Summary
This document catalogs built-in factor datasets for Chinese A-share equities. The listed fields span price history, returns, volume, trading value, turnover, active money flows, valuation ratios, financial statement measures, analyst forecasts, shareholder statistics, index membership, industry classifications, and special-treatment or price-limit status. Some tables also provide ranked versions of measures such as returns, trading activity, volatility, and beta across multiple lookback periods.
The examples indicate that users can retrieve a date range of records and, where supported, restrict the securities queried. This is a data dictionary rather than a factor-investing method: it does not specify how to combine or normalize signals, define portfolio construction, or present backtest evidence. Researchers would need to check field timing and availability, especially for financial data, to avoid look-ahead bias; the catalog itself does not explain those controls.
Key ideas
- The A-share datasets combine market history, trading activity, money flows, and company fundamentals.
- Fields include financial statement values, valuation measures, and forward analyst estimates.
- Membership, industry, special-treatment, and price-limit fields can support universe and eligibility filters.
- Ranked fields provide cross-sectional rankings for returns, trading activity, volatility, and beta over varied periods.
- The catalog provides retrieval examples but does not describe signal construction or performance testing.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.