Monthly Equal-Weight Strategy for the 30 Smallest Stocks by Market Capitalization
Summary
This brief strategy description selects the 30 stocks with the smallest market capitalizations and allocates equal weights to them. It rebalances on the first trading day of each month and excludes ST-designated shares, the STAR Market, and the Beijing Stock Exchange. There is no stop-loss rule: a holding is sold during the monthly rebalance if it no longer appears in the current selection list, and positions are adjusted accordingly.
The post offers a clear portfolio construction recipe, but gives no benchmark, backtest period, return figures, transaction-cost estimates, or explanation for the chosen universe size and monthly schedule. A comment raises a question about whether the strategy remained effective after 2020, and another alleges future-data use, without resolving either concern. Because the method concentrates on very small companies and trades on a fixed schedule, results would depend on point-in-time market-cap rankings, liquidity, trading costs, and survivorship-free data. The description is a starting specification for research rather than evidence of durable performance.
Key ideas
- The strategy holds the 30 smallest eligible stocks by market capitalization.
- It rebalances monthly on the first trading day.
- Eligible stocks exclude ST shares, STAR Market listings, and Beijing Stock Exchange listings.
- Portfolio weights are equal, with no stop-loss condition.
- A holding is removed at rebalance if it no longer qualifies; the post does not establish performance or resolve a future-data concern.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.