Monthly Equal-Weight Strategy for China’s 30 Smallest Stocks

Summary

This post outlines a monthly small-cap stock strategy. On the first trading day of each month, it excludes ST-designated stocks and listings on the STAR Market and Beijing Stock Exchange, then invests equally in the 30 stocks with the smallest market capitalizations. It has no stop-loss rule; holdings are sold when they no longer appear in the next month’s selection list.

The author presents a very high return curve and invites readers to identify possible flaws, but provides no figures, benchmark, test period, transaction-cost assumptions, or other details to assess the result. Comments raise the possibility that the approach may behave differently across market regimes, including weaker performance in bear markets and changes after registration-based IPO reform. The post therefore gives a reproducible selection and rebalancing outline, but the performance claim is not independently substantiated and the strategy’s risks are not analyzed in depth.

Key ideas

• The strategy rebalances monthly on the first trading day.
• It selects the 30 smallest stocks by market capitalization after excluding specified listings and ST-designated stocks.
• Selected stocks receive equal weights, and there is no stop-loss rule.
• A holding is sold at the next rebalance if it is absent from the new selection list.
• The post shows a high-return curve but supplies no test details to evaluate it.

Tags

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