Monthly Equal-Weight Portfolio of the 30 Smallest Chinese Stocks

Summary

This strategy rebalances on the first trading day of each month, removes special-treatment stocks and shares listed on the STAR Market or Beijing Stock Exchange, then invests equally in the 30 stocks with the smallest market capitalizations. It has no stop-loss rule; holdings are sold and the portfolio adjusted when a stock no longer appears in the next month’s selection list.

The article attributes most of the reported returns to stock selection and identifies the size factor as the main contributor, but it provides no numerical performance statistics or detailed backtest methodology. A commenter points out that a function’s use of “yesterday” may not identify the prior trading session, raising a potential calendar-handling issue. The title claims the strategy avoids future-data bias, but the page does not explain how that claim was tested. The available evidence is therefore limited, and implementation details and robustness remain uncertain.

Key ideas

• The portfolio selects the 30 smallest eligible stocks by market capitalization each month.
• It equal-weights holdings and rebalances on the first trading day of the month.
• The strategy excludes special-treatment shares and listings on the STAR and Beijing exchanges.
• There is no stop loss; positions exit when a holding is absent from the next selection list.
• The article credits stock selection and the size factor for most returns but provides no detailed statistics.

Tags

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