FangQuant › Strategies

Factor Performance in A-share

Fang submitted 2017-07-26 17:02:51

Remove ST stocks and stocks with daily turnover lower than 10 million, hold 28 stocks based on the factor selection, and the rebalance period is 20 trading days.

The data show that the factor- high turnover did worst, with the annual loss of 21%.

High turnover in some degree, represent the performance of Retails as they favor trading frequently due to always seeking hot topics.

For small market value, we can see that during 2007-2016, except 2012, it all perform better than CSI300, and rank top 3,

but it change obviously this year with has a loss of 27.51% in the past 7 months.

The factors-high market value, P/E,P/B, dividend and PEG all performance well since Mar this year.

Copyright by FangQuant.com


Currently no Comments.