Combining Small-Cap and Five-Day Momentum Factors in a Monthly A-Share Portfolio

Summary

This strategy ranks the full Chinese A-share universe using two cross-sectional signals: circulating market capitalization and five-day price momentum. It ranks each factor, adds the scores, and selects the highest-ranked 50 stocks. The portfolio assigns equal weights and rebalances monthly, with trades modeled at the next open in a daily-frequency backtest. The article describes the approach as seeking high annualized returns, but it does not report actual performance figures or comparative evidence.

The method is presented as an example of combining a size effect with return continuation. It applies no additional stock-universe filters and explicitly has no risk-control layer. The supplied backtest configuration specifies a historical interval, a benchmark, and transaction commissions, but these settings alone do not establish robustness. The source does not discuss liquidity constraints, factor direction conventions, survivorship bias, or out-of-sample validation. The equal-weighted, fully invested portfolio may therefore carry substantial concentration and drawdown risk, and the proposed factors require independent testing before practical use.

Key ideas

• The strategy combines ranked circulating market capitalization and five-day momentum into one score.
• It selects the top 50 stocks from the full A-share universe and gives them equal portfolio weights.
• The portfolio rebalances monthly and is modeled with daily data and open-price orders.
• The described implementation omits explicit risk controls and provides no reported performance evidence.

Tags

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