Monthly A-Share Portfolio Combining Small-Cap Rank and Momentum
Summary
This strategy ranks stocks across mainland China’s A-share market using a small-cap factor and a five-period momentum measure. It combines the market-cap rank with momentum into a composite score, selects the top 50 names, and assigns equal weights. The portfolio is rebalanced monthly, with the first trading day of the month specified as the rebalance date. The document outlines a BigQuant implementation and describes a backtest covering 2021 through April 2024 against the CSI 300 benchmark.
No performance results are included in the supplied text, so its claims about return potential are not substantiated here. The article flags the volatility of smaller companies, possible weakness during market declines, and turnover costs. It suggests adding other factors or adjusting rebalance frequency, but does not test these changes. The factor expression and code are provided, though the description of combining size and momentum should be interpreted alongside the exact ranking formula and verified in the platform before relying on it.
Key ideas
- The strategy scores A-share stocks using market-cap rank and five-period momentum.
- It selects the 50 highest-scoring stocks and holds them at equal weights.
- The portfolio rebalances monthly, on the first trading day specified in the setup.
- The article describes a 2021-to-April-2024 backtest against the CSI 300 but supplies no performance statistics.
- It identifies small-cap volatility, down-market weakness, and trading costs as limitations.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.