Screening A-Shares by Turnover, Market Value, Profitability, and ROE

Summary

This A-share selection method combines moderate trading activity and company size with a profitability filter. It selects companies with a turnover rate from 3% to 12%, market value below 10 billion yuan, no losses, and return on equity above 15% in each of the previous five years. The stated rationale is to find consistently profitable firms of a limited size while avoiding currently loss-making companies. Example formulas and Python code illustrate how the author intends to apply the conditions, but the document does not provide a backtest or selected-stock results.

The author cautions that historical ROE may not reflect current economic conditions or changes in an industry, and that the metric alone says little about business quality or competitive position. Suggested additions include valuation measures, revenue and profit indicators, corporate governance, and ownership structure. The proposed screen is thus a historical profitability and trading-activity filter, not a complete valuation process; the provided examples also do not demonstrate that the stated five-year and no-loss conditions are implemented consistently.

Key ideas

• The screen requires A-share turnover between 3% and 12%, market value below 10 billion yuan, and no losses.
• It selects firms whose ROE exceeded 15% in each of the previous five years.
• The document presents the screen as a way to identify consistently profitable companies with moderate trading activity.
• It warns that historical ROE can miss current economic and industry changes and is insufficient by itself.
• It suggests adding valuation, operating, governance, and ownership measures, but reports no backtest results.

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