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Size and volatility factors drag Hong Kong-listed Chinese stocks (H-Shares) lower in 2018

Sep 19, 2018

  • Chinese stocks have performed poorly in 2018 with HK-listed Chinese stocks returning –13.57% YTD.  
  • Size and volatility factors have dragged HK-listed Chinese stocks down with YTD returns of –15.66% and –17.65%, respectively. 
  • Companies with strong price momentum, capital efficiency, valuation, and analyst expectations have outperformed general HK-listed Chinese stocks with YTD returns of 13.81%, 12.78%, 10.38%, and 10.34%, respectively. 
  • Size factor stocks have outperformed in HK-listed Chinese stocks prior to mid-2016, peaking at 71.61% returns in two and a half year period. Could we see size-factor stocks climb back in late 2018 to drive Chinese stocks higher?

2018 YTD Factor Performance within Chinese HK-Listed Stocks

Source: Capital IQ

5-Year Factor Performance within Chinese HK-Listed Stocks

Source: Capital IQ