Screening Chinese A-Shares by Turnover and Persistent ROE

Summary

This post describes a simple Chinese A-share stock screen: retain shares with turnover rates between 3% and 12%, exclude Beijing-listed stocks, and require return on equity to exceed 15% for five consecutive years. The stated rationale is to favor companies with sustained profitability while avoiding stocks whose trading activity may be unusually high. The article also suggests adding other fundamental and technical measures and considering industry and economic conditions when assessing ROE.

The post provides illustrative Python code, but its implementation does not clearly match the stated rule: it selects the five largest ROE observations and multiplies them, rather than verifying that each of five consecutive annual readings exceeds the threshold. It also includes unexplained filtering steps and does not provide a backtest or performance evidence. The author warns of dependence on market style and the possibility that reported ROE may be manipulated, so the screen should not be treated as a complete investment process.

Key ideas

• The proposed screen combines a turnover range with a geographic exclusion and a persistent profitability threshold.
• The author frames sustained ROE as a way to identify profitable companies and turnover limits as a risk filter.
• The sample code does not clearly test five consecutive annual ROE values above the stated threshold.
• No performance results are supplied, and the author warns about style dependence and potential ROE manipulation.
• Additional fundamental, technical, industry, and economic inputs are suggested for further screening.

Tags

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