Fund holdings network traction intensity factor
factor.formula
The expected excess return of stock A Exp_ave:
in:
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The number of stocks associated with stock A that have mutual fund holdings. This value reflects the closeness of the association with stock A at the institutional investor level.
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The weighted correlation between stock A and related stock i. The weight is calculated by the common holdings of stock A and stock i. The higher the common holding ratio, the greater the weight, indicating that the two are more correlated. The specific calculation can be: $W_{i}^{A} = \frac{Number of funds holding stock A and stock i at the same time}{Number of funds holding stock A}$ or $W_{i}^{A} = The sum of the holdings of funds holding stock A and stock i at the same time$. You can choose the appropriate calculation method according to the situation.
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The rise and fall of the associated stock i in the past 20 trading days. This indicator reflects the market performance of the associated stock in the recent period.
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The cross-sectional median of the rise and fall of all fund holdings in the past 20 trading days. This value is used as a benchmark to measure the excess returns of related stocks.
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The excess return of associated stock i relative to the market median. A positive value indicates that associated stock i outperforms the market median, while a negative value indicates that it underperforms.
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The weighted excess return contribution of stock A's associated stock i. This value indicates the contribution of the associated stock i's excess return to the expected excess return of stock A. The higher the degree of association, the greater the contribution.
factor.explanation
This factor constructs a stock association network based on the holdings information of institutional investors (such as funds). The core logic is: when the associated stocks of a stock (i.e., stocks with common fund holdings) generally show excess returns, the market may have positive expectations for the future performance of the stock, forming a linkage effect. On the contrary, if the associated stocks perform poorly, it may indicate pressure on the future performance of the stock. The factor captures the market sentiment and expectations implied by institutional investors in their holdings selection, and can be used to identify opportunities for short-term catch-up or correction. This factor assumes that there is a certain degree of convergence in the stock selection strategies of institutional investors. When some stocks show excess returns due to certain information or events, other stocks with similar holding structures will be re-evaluated by investors, thus forming a traction effect on prices. Note that the "excess return" here uses the cross-sectional median as the benchmark, rather than the market index return, in order to more accurately capture the linkage effect brought about by the holding structure.