Screening Shenzhen Main Board Stocks by Turnover and Valuation

Summary

The document describes a Chinese A-share stock screen that excludes Beijing-listed shares and selects from the Shenzhen main board. It filters for turnover between 3% and 12%, price-to-earnings ratios from zero to 29.01, and price-to-book ratios from zero to 3.11. A Python example illustrates applying valuation and listing-code filters to stock data, though it does not implement the stated turnover filter or Beijing exclusion in the shown code.

The rationale is that turnover limits activity to a chosen range, while the two valuation measures screen out some stocks at extreme valuations. The text presents no backtest, portfolio returns, or evidence that the thresholds predict performance. It cautions that broad valuation shifts may weaken the screen and that relying on only PE and PB leaves risks. It suggests considering additional measures such as return on equity, market capitalization, and profit growth, or investigating data-driven methods. Those are proposed directions rather than validated improvements; the article provides no evaluation of them.

Key ideas

• The screen selects Shenzhen main board stocks using turnover, PE, and PB ranges while excluding Beijing-listed shares.
• The stated turnover filter is 3% to 12%, with PE capped at 29.01 and PB capped at 3.11.
• The accompanying Python example demonstrates some valuation and listing-code filters but omits turnover and Beijing exclusions.
• The document provides no performance test establishing that the screen produces superior returns.
• It recommends adding other fundamentals, while presenting those additions as ideas rather than tested refinements.

Tags

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