Building a Stock Relative Return Factor Against the CSI 300

Summary

This note shows how to construct a simple stock relative-return factor using a precomputed Chinese equity dataset. It identifies one field as each stock’s daily return and another as the CSI 300 index return, then defines relative return as the stock return minus the benchmark return. The calculation can be applied across stocks and dates to express performance after subtracting the broad market’s daily move.

The method is a basic benchmark-adjusted return measure that could serve as an input to ranking or factor research. The note points to a data table containing price, company, technical, and financial fields, and says it extracts the two return series alongside the calculated factor. It does not provide observations, a test period, portfolio construction rules, or performance results. The definition is therefore a feature-construction example, not evidence that the factor predicts future returns; implementation also depends on consistent return timing and data handling.

Key ideas

• Relative return is defined as a stock’s daily return minus the CSI 300’s daily return.
• The example uses stock and index return fields from a precomputed Chinese stock dataset.
• The resulting series measures daily performance relative to the broad market benchmark.
• The note does not test whether the factor predicts future returns or improves a portfolio.

Tags

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