China Stock Screen Using Turnover, IPO Year, and ROE

Summary

This stock screen selects Chinese equities with turnover between 3% and 12%, an IPO year of 2021, and return on equity above 15% in each of the previous five years. It combines a liquidity-related trading activity filter with a historical profitability criterion. The article frames the method as fundamental screening and suggests valuation measures such as price-to-book or price-to-earnings as possible additions.

The document describes the selection rules and gives sample formula and Python references, but it does not provide a verified constituent list, backtest, or performance evidence. It warns that historical ROE may not predict future results and that the threshold could exclude otherwise strong businesses. Its code snippets also include implementation details that do not clearly establish that every stated screen condition is applied consistently, so the rules are more dependable than the supplied example implementation.

Key ideas

• The screen requires turnover between 3% and 12% and an IPO year of 2021.
• It also requires ROE above 15% for five consecutive years.
• The author suggests adding valuation measures and adapting the time window.
• The article gives no backtest or performance results and notes risks from relying on historical profitability.

Tags

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