Chinese Stock Screen Using Five-Year ROE and Dividend Payout History

Summary

This document describes a Chinese equity screen that combines daily price range, sustained profitability, and dividend payout history. The initial rule requires amplitude above 1, return on equity above 15% for five consecutive years, and a dividend payout ratio above 25% in 2019. Its revised version keeps the amplitude and ROE filters while requiring the payout threshold in at least two of 2019, 2020, and 2021.

The rationale is to find stocks with greater price movement, persistent profitability, and a record of distributing cash. The document cautions that historical ROE may not indicate future prospects, some high-growth sectors may not meet the ROE threshold, and one-year dividend figures can mislead. It offers formula and Python examples but no performance results. The examples raise implementation questions: the stated ROE threshold is expressed as 15% in one place and 0.15 in another, and dividend payout is calculated from dividend values without a clear definition of the underlying ratio. These details require clarification before use.

Key ideas

• The revised screen requires amplitude above 1 and ROE above 15% for five years.
• At least two of the three specified years must have dividend payout ratios above 25%.
• The document warns that past profitability and isolated payout figures may be misleading.
• No backtest evidence is provided, and the sample code leaves financial-data definitions unclear.

Tags

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