Screening Stocks by Five-Year ROE, Turnover, and Float Market Value

Summary

This document describes an equity screen that looks for stocks with return on equity above 15% for five consecutive years, turnover between 3% and 12%, and circulating market value between 5 billion and 10 billion yuan. It presents the ROE history as a way to favor firms with sustained profitability, while the turnover and size limits narrow the pool of candidates. It also gives example formula and Python implementations, though their filtering details are not fully consistent with the stated screen.

The article cautions that ROE varies across industries and economic conditions, and a high figure may reflect leverage rather than durable profits. It suggests reviewing other financial measures, including valuation and net profit, alongside the screen. No backtest, performance data, or evidence that the criteria predict returns is provided, so the conditions serve as an initial selection rule rather than a validated strategy.

Key ideas

• The screen requires ROE above 15% in each of five consecutive years.
• It limits candidates to turnover between 3% and 12% and circulating market value between 5 billion and 10 billion yuan.
• ROE differs across industries and can be elevated by debt, so it does not ensure stable or sustainable earnings.
• The article recommends adding other financial measures, but provides no performance testing for the screen.

Tags

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