18-year A-share Market Style Analysis
Each month, the study compares high and low score groups across 19 A-share style factors.
Current conclusion
Historical archive and descriptive studyNineteen archived factor series differ widely and overlap. Their history and tradability still need verification.
Evidence boundary · Historical long-short series are not account returns. Factor coverage differs, and the original generation chain and formula mappings are not fully verified.
2008-01-02 — 2026-09-04Long-run A-share style-factor performance
Review factor definitions, long-run performance, annual returns, correlations, and sample coverage, followed by a separately computed market-cap decile study.
Historical sample: 2008-01-02 to 2026-09-04
What the archive tells us today
In the archived 2008-01-02 to 2026-09-04 sample, the value factor has a geometric annualized composite return of 10.64% and a maximum drawdown of 20.61%. The archived size series, large minus small, has a geometric annualized return of -22.16%. This documents a historical advantage for the small-cap side under the archive rules. It leaves the return available to a small-cap account unresolved.
Today, these results help identify historical style exposure and choose comparisons for new tests. A current portfolio needs formation-date financial versions and a matched execution ledger before the historical ranking can guide trading. Narrative and published figures were checked on 2026-10-30 without rerunning data or adding observations after 2026-09-04.
The chart shows a composite daily return series for the high-minus-low score groups. It describes factor direction and historical regimes, not the return of an actual account. market style factors can support risk interpretation and cross-sectional comparisons; their use as predictive signals requires separate testing.
Research question and methods
Coverage
The study covers 19 A-share style factors. Each month, stocks are split into five groups; the highest- and lowest-scoring groups are compared with equal weights until the next month. Daily returns use high minus low. Aligning data by announcement date alone does not prove that financial information was available at the time; historical revisions and full point-in-time treatment remain to be verified.
Industry adjustment
Scores are first demeaned by historical Shenwan Level-1 industry and then standardized cross-sectionally. Securities without an industry classification are retained separately rather than treated as if their industry adjustment were zero.
Sample coverage
Most factors cover about 18.6 years. Holdings, shareholder-positioning, and fund data cover shorter periods; fund-flow data currently span about 0.6 years. Their results should not be compared with full-history factors at the same evidentiary strength.
IC measures the linear correlation between factor scores and future returns; Rank IC measures rank agreement. An IC near zero indicates little linear relationship between score levels and future returns. Q1–Q10 in this study are decile portfolios ordered from low to high scores, the reverse of some historical long-short charts. Use each chart title and factor definition to confirm direction.
Research limitations Factor direction and portfolio construction are described above. Transaction costs, suspensions, price-limit execution, and a complete tradability audit still need a consistent treatment. Some fund, shareholder-positioning, and flow series cover shorter periods, so those results remain exploratory.
High minus low refers to factor scores, not uniformly to raw descriptors. The archived size factor is large minus small; the separately recomputed size diagnostic is small minus large. The current descriptor dictionary is a separate definition and does not establish the archive's original formulas.
How to read IC and the decile study
IC measures the cross-sectional relationship between a score and later returns; Rank IC measures whether their order agrees. A value near zero indicates little relationship in that sample. The separate size study sorts into ten groups and measures next-session returns; its direction and sample contract differ from the monthly five-group long-short archive above.
Sources, dates, and research progress
Which style characteristics appear more consistently, and which results are concentrated in certain periods?
Historical archive and descriptive study
First verify historical formulas and missing-return rules, then recompute using provable formation-date information and add costs, suspensions, and price-limit handling.