A Chinese Equity Screen Using Turnover, Float Size, and Concentration

Summary

This Chinese stock-selection note describes a screen combining turnover, circulating share capital, and a concentration measure. Its stated final rule keeps stocks with turnover at or below 12%, circulating market capitalization at or below 5.5 billion shares as described in the text, and concentration below 20%. An earlier description also gives a turnover range beginning at 3%, while the example formula uses a strict upper bound and the Python example uses strict bounds at both ends.

The note frames the criteria as liquidity and ownership-concentration filters, then suggests adding fundamental and industry analysis, such as a return-on-equity check. It provides screening expressions but no backtest, performance results, or validation. The thresholds are presented without empirical justification, and the varying turnover formulations and ambiguous capitalization unit make the rule difficult to reproduce exactly without checking the underlying data definitions.

Key ideas

• The screen combines turnover, circulating share size, and a concentration threshold.
• The stated final rule sets upper limits of 12% turnover and 5.5 billion units of circulating size, with concentration below 20%.
• An example adds a return-on-equity filter, but the document does not establish its effectiveness.
• The criteria may exclude potentially attractive stocks and are not supported by reported backtest evidence.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.