A-share factor library
A-share stock-selection factor library
English research guides for common A-share factors. Each guide covers definitions, disclosure timing, tradability, exposures and out-of-sample review rather than a return promise.
Research tools
Choose factors, then fix the A-share conventions
Factor selector
Start from a research question and choose a small set of candidate factors and review items.
Open research tool →A-share research checklist
Check data availability, universe, corporate events, costs, exposures and validation before the backtest.
Open research tool →Multi-factor recipes
Use three reviewable starting templates for value-quality, momentum-low volatility and growth-quality.
Open research tool →Factor guides
Ten common factors
Value
Definitions, timing rules, sector neutralisation and A-share backtest checks for common valuation factors.
Typical direction
Lower PE/PB/PS is commonly ranked higher; higher dividend yield is commonly ranked higher.
Quality
Use profitability, cash conversion and leverage measures without treating a single ROE number as a complete quality score.
Typical direction
Higher profitability and cash conversion are commonly ranked higher; lower leverage and accrual risk are commonly ranked higher.
Growth
Build growth signals with consistent comparisons, disclosure timing and valuation constraints.
Typical direction
Higher sustainable revenue, earnings and cash-flow growth is commonly ranked higher.
Momentum
Test trailing return signals with adjusted prices, skip periods and A-share execution constraints.
Typical direction
Higher trailing return is commonly ranked higher after a defined skip period.
Low volatility
Measure lower-risk exposures without letting suspensions or defensive-sector concentration distort the result.
Typical direction
Lower realised or downside volatility is commonly ranked higher.
Liquidity
Measure trading conditions and liquidity premia while keeping capacity and micro-cap exposures visible.
Typical direction
The desired direction depends on the definition; state whether the study targets liquidity or illiquidity.
Size
Study total and free-float market value while making listing-age and tradability constraints explicit.
Typical direction
State the intended direction explicitly; smaller-cap studies require capacity review.
Dividend
Use implemented dividends, ex-dividend conventions and cash-flow checks when studying shareholder distributions.
Typical direction
Higher sustainable dividend yield is commonly ranked higher.
Reversal
Test short-horizon reversals with explicit turnover, price-limit and event-risk assumptions.
Typical direction
Recent losers are commonly ranked higher in a short-term reversal study; define the holding horizon explicitly.
Investment
Separate operating growth from asset expansion, capex and working-capital changes using actual disclosure dates.
Typical direction
The intended direction must be tested; low asset growth is often studied as a candidate signal rather than a conclusion.