Northbound Funds Holding Ratio Factor
factor.formula
Holding Percentage at the End of Month (HoldPER) =
This formula calculates the ratio of the market value of stocks held by northbound funds to the market value of the stocks at the end of the month. The higher the ratio, the higher the preference of northbound funds for the stock.
Monthly average shareholding ratio (MHoldPER) =
This formula calculates the arithmetic mean of the shareholding ratio of northbound funds at the end of each day over the past 20 trading days to smooth out short-term fluctuations and more stably reflect the holding level of northbound funds. 20 trading days usually represent a one-month trading cycle.
The meanings of the parameters involved in the formula are as follows:
- :
It refers to the total market value of the stock held by northbound funds at the end of each month, usually in RMB yuan.
- :
It refers to the total market value of the stock that can be freely traded in the market at the end of each month, usually in RMB yuan.
- :
Indicates calculating the arithmetic mean of the data in brackets.
factor.explanation
This factor captures foreign investors' preference for individual stocks and the trend of their holdings by calculating the proportion of northbound funds and their monthly average. In theory, northbound funds tend to have a strong ability in stock selection due to their investment experience and information acquisition advantages. Therefore, a higher proportion of northbound holdings and continued increases in holdings often indicate the future earnings potential of stocks. This factor can be used for cross-sectional stock selection to screen out high-quality stocks with investment value.