Chinese Stock Screening with Turnover, Market Cap, and Five-Year ROE

Summary

This stock screen combines a trading-activity filter with a size constraint and a profitability-quality condition. It selects shares with turnover between 3% and 12%, circulating market capitalization between 1 and 55 hundred million yuan, and return on equity above 15% for five consecutive years. The article presents the screen as a way to focus on smaller companies with persistently high ROE, and includes formula and Python examples intended to implement the filters.

The article cautions that reported ROE can be unusually high and that high-ROE industries may carry added risk. It suggests supplementing ROE with measures such as leverage and cash flow, and comparing companies with industry norms and variability. The examples are screening logic, not a complete portfolio or trading system: they give no backtest, returns, transaction-cost analysis, or rebalancing method. The written title and initial description also differ from the final criteria, so the exact turnover lower bound and market-cap units merit verification before use.

Key ideas

• The screen combines turnover, circulating market capitalization, and a five-year ROE condition.
• The stated final criteria require turnover no greater than 12% and market capitalization from 1 to 55 hundred million yuan.
• The strategy seeks companies with ROE above 15% in each of five consecutive years.
• High or distorted ROE can mislead, and the article recommends considering leverage, cash flow, and industry context.
• The examples do not provide backtest results or a complete trading and portfolio process.

Tags

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