Market, Size and Value are three important factors in determining the return on A-shares in China. Based on the "Three Factor Model Construction Methodology" proposed in the article "Size and Value in China" by Prof. Yuan Yu, Prof. Robert F. Stambaugh and Prof. Liu Jianan, the historical performance for the three factors is shown in the table below.
The Quality Factor effectively captures the movements of stocks with high-quality fundamental information in the A-share market. Based on the construction methodology proposed in the article "Quality's Superior Returns in China A-Shares" by Prof. Yuan Yu, Prof. Robert F. Stambaugh and Prof. Liu Jia Nan, the historical performance of the quality factor information is shown in the table below.
