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.
China Three Factors, CH-3, monthly, updated to 202503. (paper, data appendix, data)
China Three Factors, CH-3, daily, updated to 202503. (data)
China Four Factors, CH-4, monthly, updated to 202503. (data)
China Four Factors, CH-4, daily, updated to 202503. (data)
China Six Size Value Portfolios, updated to 202503. (data)