Ranking A-Shares by Earnings Growth Minus Market-Capitalization Rank

Summary

This A-share strategy ranks eligible stocks using year-over-year net-profit growth and total market capitalization. It subtracts each stock’s size rank from its growth rank, favoring companies with stronger earnings growth and relatively smaller market values. The strategy filters out suspended, flagged, and recently listed stocks, then holds the ten highest-ranked names at equal weights with a fully invested portfolio. It describes daily rebalancing at assumed opening prices, transaction fees, an initial capital amount, and the CSI 300 as benchmark.

The document reports a historical backtest spanning 2020 through early 2026, including cumulative and annualized returns, Sharpe ratio, and maximum drawdown. These are reported figures rather than independently validated results; the description does not establish that the backtest accounts for all real-world constraints or avoids look-ahead and survivorship biases. It also notes that daily turnover may be high and suggests less frequent rebalancing, industry limits, liquidity or volatility screens, richer factor combinations, and portfolio-level risk controls.

Key ideas

• The composite score subtracts market-cap rank from net-profit-growth rank.
• The strategy filters out risk-flagged stocks and companies listed for less than about a year.
• It selects ten top-ranked stocks, equally weighted, and rebalances each trading day.
• The backtest assumes opening-price execution and specifies transaction costs and a CSI 300 benchmark.
• The reported performance figures are historical claims, and the document identifies turnover and concentration as concerns.

Tags

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