Monthly Equal-Weight Strategy for the Smallest-Capitalization Stocks

Summary

This short strategy post describes a monthly small-capitalization stock-selection approach. On the first trading day of each month, it selects the 30 stocks with the lowest market values after excluding ST-designated stocks, ChiNext-board stocks, and Beijing Stock Exchange listings. The selected names are held at equal weights.

There is no stop-loss rule. At the next monthly rebalance, holdings that are absent from the new selection are sold and positions are adjusted to match the updated list. The post gives no backtest results, benchmark, transaction-cost assumptions, or explanation of the exclusions. A community comment flags a possible issue in the ST exclusion code and points readers to a newer article, so implementation details may need checking before use.

Key ideas

• The strategy rebalances on the first trading day of each month.
• It selects the 30 lowest-market-value stocks after specified board and ST exclusions.
• The selected stocks receive equal portfolio weights.
• Positions are sold when they no longer qualify at the next monthly selection.
• The post reports no performance evidence, and a comment raises a possible issue with the ST filter.

Tags

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