Screening A-Shares by Turnover, Recent Returns, and Five-Year ROE

Summary

This A-share screening approach combines trading activity, recent price movement, and a sustained profitability condition. It selects stocks with turnover between 3% and 12%, a positive 10-day gain below 35%, and return on equity above 15% in each of the past five fiscal years. The stated rationale is to balance liquidity and recent performance with a longer record of profitability, filtering out companies whose strong ROE may be temporary.

The document provides a sample implementation outline and explains that ROE norms vary by industry. It also warns that a short observation window can admit stocks based on limited evidence, while strict filters may exclude promising candidates. The screen is presented as an initial selection tool; investors are advised to assess candidates using other measures, potentially including valuation, dividends, and broader fundamentals. No backtest or evidence of realized performance is supplied, and the sample code should not be taken as proof that the stated criteria produce returns.

Key ideas

• The screen requires turnover between 3% and 12% and a positive 10-day gain below 35%.
• It requires ROE above 15% for each of the past five fiscal years.
• The longer ROE history is intended to favor sustained profitability over temporary strength.
• ROE thresholds may need adjustment for industry differences.
• The screen is a starting point that calls for further fundamental analysis.

Tags

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