Chinese Stock Screen Using Turnover, Float Size, and Float Market Value

Summary

This Chinese stock-screening note selects shares using turnover, tradable share count, and tradable market value. Its stated screen requires turnover between 3% and 12%, a circulating share count no greater than 5.5 billion, and circulating market value above 10 billion yuan. It explains the turnover band as a liquidity filter, the share-count ceiling as a way to favor smaller floats, and the market-value floor as a proxy for companies with established market presence.

The note acknowledges that these market-based filters omit fundamentals and industry prospects, and suggests adding measures such as profit growth, financial condition, and capital flows. There is no reported backtest or evidence that the criteria improve returns. The final summary of the screening rule omits the 3% turnover floor even though the earlier description and formula include it, so the intended lower bound is inconsistent. The document also does not clarify rebalance frequency, portfolio construction, or how the thresholds should adapt to changing market conditions.

Key ideas

• The described screen combines a 3% to 12% turnover band with limits on tradable shares and tradable market value.
• The author presents turnover as a liquidity filter and float size as a way to constrain company size.
• The note recommends considering financial, growth, industry, and capital-flow information as additional factors.
• No backtest is reported, and the final screening summary drops the earlier 3% turnover minimum.

Tags

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