Monthly Chinese Equity Strategy Ranking Stocks by Revenue to Market Value

Summary

This post describes a simple single-factor approach for selecting Chinese equities. It first filters for companies whose latest year-over-year revenue growth is positive, then ranks eligible stocks by prior-year annual revenue divided by current market capitalization, favoring higher revenue relative to market value. The author frames the ratio as a valuation measure related to the price-to-sales concept.

The strategy rebalances monthly, holds no more than five stocks, and allocates capital equally among them. The page refers to a factor test and a return curve, but the supplied text gives no performance figures, benchmark comparison, test period, transaction-cost assumptions, or risk analysis. It therefore documents a portfolio rule rather than evidence that the rule is profitable. Revenue growth and revenue-to-market-value screening can also leave the portfolio concentrated, and the post does not specify how missing data or other implementation details are handled.

Key ideas

• The strategy filters for companies with positive latest year-over-year revenue growth.
• Eligible stocks are ranked by prior-year revenue divided by current market capitalization.
• The portfolio rebalances monthly and holds at most five equally weighted stocks.
• The supplied post mentions a factor test but provides no results or test assumptions.

Tags

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