Chinese A-Share Screen Using Turnover and Company Size

Summary

This Chinese A-share stock screen selects shares with turnover between 3% and 12%, excludes Beijing-listed A shares, and requires company size above 200 million. The accompanying discussion presents the size threshold as a way to omit some very small companies, while acknowledging that this can also exclude undervalued or fast-growing small-cap opportunities.

The article suggests improving the screen with style-neutral selection factors, such as earnings and valuation measures, and comparing companies against standards within their industries. Its sample Python reference does not fully implement the stated screen: it filters Shenzhen listings and selected ticker prefixes, excludes names containing ST, and applies a market-cap threshold, but does not show the turnover range or Beijing exclusion. No historical portfolio results or evidence for the thresholds are supplied, so the screen is a starting rule rather than a validated strategy.

Key ideas

• The stated screen requires turnover between 3% and 12%, excludes Beijing A shares, and sets a minimum company size of 200 million.
• A size cutoff can reduce exposure to the smallest companies but may also omit attractive small-cap stocks.
• The article proposes adding earnings and valuation measures to reduce style concentration.
• It also recommends evaluating company size relative to industry peers.
• The sample code does not implement every condition in the written screen, and no backtest results are reported.

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