A-Share Quality Screen Using Growth, ROE, and Valuation

Summary

This note tests an A-share stock screen inspired by a “Beautiful 50” concept. It selects companies using three annual-report criteria: net profit growth above 15%, return on equity above 15% for three consecutive years, and a price-to-earnings ratio below 35. The author applies the screen to financial data from 2013–2015, yielding 28 stocks, then describes an equal-sized investment in each stock from June 1, 2016, to June 1, 2017, with the CSI 300 as its benchmark.

The reported backtest return is 17.67%, compared with 10.35% for the benchmark; the note also gives an annualized return of 18.46%, alpha of 0.08, and beta of 1.01. The author says the strategy’s return broadly tracked the index. A second screen using 2014–2016 reports 15 qualifying stocks, but does not provide their subsequent performance. The post is a brief platform-era experiment: it gives little detail about accounting-data timing, rebalancing, transaction costs, or survivorship bias, so the figures alone do not establish robustness.

Key ideas

• The screen combines net profit growth, sustained return on equity, and a valuation ceiling.
• Applying the stated rules to 2013–2015 financial reports produced 28 qualifying stocks.
• The reported one-year backtest outperformed the CSI 300 over the stated period, while broadly tracking it.
• A later screen found 15 stocks, but the document does not report their subsequent returns.
• The brief backtest omits key implementation details and does not demonstrate that the result is robust.

Tags

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