Screening Shanghai A-Shares by Turnover and Top-Holder Concentration

Summary

This note describes a screen for A-shares whose codes begin with 60, whose turnover is between 3% and 12%, and whose top 20% of shareholders collectively hold less than 70% of shares. It presents these conditions as filters for liquidity and ownership concentration, and provides example selection logic. The intended idea is to identify stocks with a specified trading activity level and a limit on concentration among major holders.

No backtest, portfolio rules, or performance evidence is included. The text cautions that the screen omits macroeconomic and policy influences, and suggests adding technical indicators, industry trends, and broader conditions. The example code also includes a price ceiling that is absent from the stated final rule, and its comparison of holder data is not clearly explained. These inconsistencies make the implementation less precise than the written selection criteria.

Key ideas

• The stated screen requires a code beginning with 60, turnover of 3%–12%, and top-holder concentration below 70%.
• The concentration measure is defined as the combined ownership of the top 20% of holders.
• The proposed filters do not account for macroeconomic conditions or policy changes.
• The note suggests adding technical and industry information for a broader selection model.
• The example code adds a price condition not present in the final written rule.

Tags

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