The Largest Single-Factor Study of China’s Stock Markets

China’s equity markets, the second largest in the world, have long confounded Western investors. The strategies that work in the US market may not be effective in the Chinese market, which is dominated by retail investors. However, patterns exist if you know where to look. Granite Peak Advisory has published a white paper, which documents the predictive power of a list of over 400 factors from DataYes Equity Factor Database. This study is the largest single-factor analysis of China’s stock markets to date. 

Factor Performance Summary.PNG

(Source: DataYes, GPA's Calculation)

The white paper provides a summary of the dataset and analyses of top performing factors. It also explores how China-specific quirks in liquidity and short sale constraints impact factor returns.