The markets normalized to a degree in November. Riskier stocks as indicated by the residual volatility factor underperformed, as did the momentum and liquidity factors, which was a reversal from October. Larger companies (size) and earnings yield continued to underperform, while growth reverted to positive for the month. Retail and media sectors were strong while industrial conglomerates and building products were weak - also reversals from October. 

As expected, our strategy recovered strongly during the month. The majority of the gains were driven by idiosyncratic alpha while we also recovered returns from factor exposure, in particular being short residual volatility, liquidity, and size.

As detailed in our inaugural edition of our research piece GokuTech Insights, we believe 2025 could turn out to be one of the best years for quantitative strategies in China. The ratio of quant strategy AUM versus equity market liquidity has turned favorable, creating an attractive environment for our strategy going forward.