NorthboundRatio
Northbound Holding Ratio — Lundblad Shi Zhang and Zhang 2026
Liquidity
Quick facts
| Factor ID | NorthboundRatio |
| Display name | Northbound Holding Ratio |
| Family | Predictor |
| Category | Liquidity |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Lundblad Shi Zhang and Zhang 2026 |
| Source tables | — |
| Required fields | — |
| PIT required | no |
| Coverage | 2023-06-02 – 2026-03-31 · 66,721 rows · 9.7% of panel |
Formula
Stock Connect northbound holding ratio (%)
China adaptation
Uses Tushare hk_hold API; only covers Stock Connect eligible stocks post-2014.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 20 |
| Monthly mean | -0.2400% |
| Monthly std | 4.3583% |
| Annualized Sharpe | -0.19 |
| t-stat (simple) | -0.25 |
| Hit rate (months > 0) | 45.0% |
| Last 12M compounded | -9.47% |
| Cumulative wealth (start = 1) | 0.936 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2024-02 | -3.59% | 0.997 | 3282 |
| 2024-04 | +1.88% | 1.015 | 3295 |
| 2024-05 | +5.34% | 1.070 | 3299 |
| 2024-06 | -3.53% | 1.032 | 3324 |
| 2024-07 | -2.58% | 1.005 | 3327 |
| 2024-09 | -10.75% | 0.897 | 3338 |
| 2024-12 | +2.10% | 0.916 | 3379 |
| 2025-03 | -1.66% | 0.901 | 3392 |
| 2025-06 | +0.39% | 0.904 | 3534 |
| 2025-09 | -3.32% | 0.874 | 3541 |
| 2025-12 | +2.76% | 0.898 | 3736 |
| 2026-03 | +4.18% | 0.936 | 3750 |
Known data issues
None recorded.
Notes
Coverage limited to Connect-eligible universe (~2000 stocks).
See also: Liquidity family, Factor library, Factor returns.