Quantamental: Textile & Footwear OEM Stocks: A PMI-based Trading Strategy

研报英文原文证据摘录

Quantamental: Textile & Footwear OEM Stocks: A PMI-based Trading Strategy

China (PRC) | Apparel, Footwear &

Textiles EquityJuneResearch11, 2026

Quantamental: Textile & Footwear OEM

Stocks: A PMI-based Trading Strategy

In this series, we use AI to scan our available fundamental data for winning

investment strategies. We noticed the potential to profit from a basket of

OEM stocks, by both long and short, using Taiwan textile and footwear

PMI. The strategy is likely a contrarian strategy. Limitations and risks to the

strategy include limited data, overfitting, liquidity (when going short), etc. A

simulation of 4.5 years yields 107% return on 1.9 annualized Sharpe (chart

2).

The strategy is likely contrarian: We will discuss the dataset and implementations on page

2 and 3. In summary, buy single appears when fundamental data is weak and vice versa. We

thus view this strategy as a contrarian one. This may also explain the difficulties to profit from

the OEM stocks using traditional fundamental analysis.

Discussions:

Why develop this strategy: After Covid, the OEMs' management guidance quality has in

general reduced (as evidenced by greater post-result earnings revisions). This is likely due to

increasing production shutdowns, war, tariff, etc.

Limitations and risks of the strategy: The data size is very small (only slightly more than

5 years of monthly data PMI and 6 stocks). The stocks in our portfolio come from two

stock markets: Hong Kong and Taiwan. The stocks in the portfolio sometimes perform very

differently. There is always the risk of overfitting: there are indeed occasions when 2-3 stocks

from the portfolio contributed most of the return.

Contrarian and mean revision are the key reasons that our fundamental understanding of the

sector support the strategy.