Fund holdings associated network momentum factor
factor.formula
Exp_ave:
The specific meanings of the parameters in the formula are as follows:
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The number of related stocks that have a common fund holding relationship with the target stock A. This value reflects the closeness of the connection between stock A and the fund holding network.
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The fund holding correlation weight between stock A and its associated stock i. This weight is usually calculated based on the degree to which the two stocks are jointly held by the fund. For example, it can be measured by indicators such as the market value ratio or the number of holdings ratio of the two stocks held by the same fund. A higher $K_{i}^{A}$ value indicates that the two stocks are more correlated.
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The rise and fall of the associated stock i in the past 20 trading days. This indicator reflects the recent momentum performance of the associated stock i and is the basis for calculating the expected return of stock A.
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The cross-sectional median of the rise and fall of all fund holdings in the past 20 trading days. This median represents the average momentum level of the entire market and is used to make benchmark adjustments to the rise and fall of related stocks to remove the impact of overall market fluctuations.
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The excess rise and fall of associated stock i relative to the market average can be understood as the Alpha return of associated stock i. This value reflects the relative momentum strength of associated stock i.
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The weighted excess increase or decrease of stock A's associated stock i reflects the impact of the momentum of associated stock i on stock A. The larger the association weight $K_{i}^{A}$, the greater the impact of the momentum of associated stock i on stock A.
factor.explanation
This factor constructs a stock association network based on the common holdings of the fund, and believes that there is a momentum effect of mutual traction between stocks. If the associated stocks of a certain stock have generally risen in the past period of time (that is, the excess return is positive), the stock itself will also be affected by the positive momentum, and it is expected that there will be opportunities for catch-up growth in the subsequent period; conversely, if the associated stocks perform poorly, the target stock may face the risk of falling. The core logic of this factor is to use the information implied by the fund's holding network to explore the potential momentum transfer effect between stocks. This factor can be used as an important reference indicator for stock selection, timing and risk management.