Chinese Small-Cap Stock Ranking by Market Value and Earnings

Summary

This China equity strategy ranks stocks cross-sectionally using circulating market capitalization and earnings per share, combining the rankings into a total score and sorting from low to high. It excludes special-treatment and suspended stocks, requires more than 365 days since listing, limits the universe to main-board shares while excluding the STAR Market and Beijing Stock Exchange, and requires a positive price-to-earnings ratio. Each day it holds the ten highest-ranked candidates for one day, with equal allocation and trades at the open. The stated backtest begins in 2020 and runs through the current date of the post.

The document specifies a starting capital of 500,000 but supplies no readable return, risk, benchmark, or transaction-cost results; a backtest chart is mentioned without evidence in the text. It also does not explain how the two factor ranks are scaled or combined, nor how opening-price execution, liquidity, survivorship, and changing index membership are handled. The description gives a reproducible outline of a short-horizon small-cap and earnings screen, but the available information is insufficient to judge its robustness or live-trading performance.

Key ideas

• The strategy combines cross-sectional ranks for circulating market capitalization and earnings per share.
• It filters out special-treatment, suspended, recently listed, non-main-board, and negative-earnings-multiple stocks.
• It selects ten stocks daily, holds them for one day, and allocates capital equally.
• The stated backtest starts in 2020 and uses opening prices for both entries and exits.
• The document does not provide usable performance results or explain factor scaling, transaction costs, or execution assumptions.

Tags

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