Monthly Smallest-Market-Cap Stock Selection Strategy
Summary
The document describes a monthly equity strategy based on market capitalization. At each month end, it ranks eligible stocks from smallest to largest by market value and buys the ten smallest. The portfolio holds those selections for the following month, then repeats the process at the next month end. It excludes suspended stocks, specially treated stocks, and shares listed on several specified Chinese growth and regional boards, focusing on main-board large-cap stocks as described by the author.
The page provides a strategy outline but no implementation details, backtest, performance evidence, transaction-cost estimates, or risk analysis. It also mentions that the example uses an external Tushare dataset and suggests that platform SQL tools could simplify data handling. The stated universe description may be ambiguous: selecting the smallest firms while restricting the universe to large-cap stocks can materially affect the strategy. Readers would need to clarify the eligible universe and test survivorship, liquidity, rebalancing, and execution assumptions before drawing conclusions.
Key ideas
- The strategy ranks eligible stocks by market capitalization at each month end.
- It buys the ten lowest-ranked stocks and holds them for one month.
- The stated universe excludes suspended, specially treated, and specified non-main-board listings.
- The document gives no backtest or evidence about returns, risk, or trading costs.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.