APM: Comparing Morning and Afternoon Price Behavior as a Stock Factor

Summary

This research summary introduces APM, a stock-selection factor built from differences between morning and afternoon price behavior in Chinese A-shares. Its premise is that informed traders are more active in the morning, making morning price moves a stronger signal of their bullish or bearish views. Higher APM values are interpreted as more bullish positioning, and lower values as more bearish positioning.

The document reports historical long-short portfolio results: sorting all A-shares into five groups by APM produced a stated annualized return of 17.0%, information ratio of 2.89, maximum drawdown of 6.39%, and monthly win rate of 80.5%. Combining APM with a Smart Money Q factor and sorting into ten groups is reported to yield 41.8% annualized return, information ratio 3.11, maximum drawdown 14.2%, and monthly win rate 82.9%. These are source-reported figures, not independently verified evidence; the summary gives no detailed sample period, construction procedure, transaction-cost treatment, or out-of-sample validation. It cautions that historical relationships may change and individual factor returns can fluctuate.

Key ideas

• APM measures differences between morning and afternoon price behavior to rank Chinese A-shares.
• The factor interprets stronger morning behavior as a sign of informed traders' bullishness.
• The report gives historical long-short results for APM sorts and for a combination with the Smart Money Q factor.
• The available summary omits the detailed factor formula, sample period, costs, and validation method.
• The report warns that historical factor performance may not persist and returns may vary.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.