Datayes’ professional financial engineering team, adhering to strict PIT guidelines, has utilized fundamental and alternative data sources such as market data, financial data, research reports, news, patents, and AI-based earnings forecasts to produce high-quality factor data. A-Share Boutique Factor data is a part of Datayes’ Quantitative Factor Data.

1.Data Introduction

A-Share Boutique Factor data, powered by cognitive intelligence, covers all A-share stocks and currently includes 120 factors, categorized into three levels. The data in this Boutique Factor database originates from market, financial, and alternative data (including research reports, patent data, AI earnings forecast data, etc.) dating from 2010 to the present, with daily incremental updates ensuring timely data refresh and information transmission.

The inclusion of factors in this data primarily focuses on alpha generation and also considers the stackability of factors. It is mainly used for constructing multi-factor stock strategies.

2.Data Advantages

Broad Coverage: The Datayes A-share Boutique Factor Data not only utilizes the three major financial statement data but also integrates performance briefings and forecasts, applying them comprehensively. Fundamental factors are calculated year-over-year and quarter-over-quarter, reflecting information across different time dimensions. Market sentiment factors include traditional daily frequency trading data factors and high-frequency factors calculated using minute-level data.

Speed in Data Capture: In addition to capturing relevant data in real-time on trading days and during daytime, the Datayes A-share Boutique Factor  Data operates continuously, updating in real-time during holidays and nights. This ensures the swift capture of data changes, including information released during holidays. Fundamental factors and other daily data are calculated on the same night, utilizing post-market company announcements.

Depth in Data Mining: Produced based on cognitive intelligence, the Datayes  A-share Boutique Factor Data leverages Datayes’ vast data and powerful algorithms, including alternative and exclusive data, to conduct in-depth mining. It outputs institutional sentiment factors, alternative factors, etc., uncovering alpha.

3.Data Application

The Datayes A-share Boutique Factor Data significantly aids investors in factor-based stock selection, quantitative investment, and risk calculation. With the help of this data, investors can use single or multiple factor data to select stocks that meet set criteria, practice factor-based stock picking; quantitative investment teams can use related factor data, like multi-factor models, to capture alpha returns, and implement quantitative investment strategies; risk management departments can use relevant factor data to calculate various risk indicators, achieving risk calculation.

As a crucial factor driving changes in investment portfolio risk and return, factors have received widespread attention in both theory and practice, and can be used to explain or predict risk and return. Studies show that factor investing has become an important and effective investment method in the asset management, with factor analysis permeating all aspects of investment management. As the A-share market develops, factor investing is expected to play an increasingly significant role. The Datayes China A-share Boutique Factor Data, with its rich factor data, will empower more investors to explore alpha.

4.Performance of Some Factors

In the second quarter of 2023, 20 new factors were introduced, mainly covering the category of market sentiment. A backtest was also conducted on the newly added factors from January 2010 to April 2023. The results show that, using the CSI 1000 as an investment threshold and after industry and market capitalization neutralization of the factors, the top-bottom decile long-short portfolio exhibited outstanding performance in terms of annualized return, information ratio, and win rate. The highest annualized return reached 55.92%, with information ratios ranging from 2.08 to 4.61, and win rates above 60.87%.