China stocks - Ceta Research

asset-light

Asset-Light Business Models on Chinese Stocks: 25 Years of Data

We tested the asset-light composite score on Chinese A-shares (SHH + SHZ) over 25 years. Asset-light returned 3.17% vs -1.29% for asset-heavy: a 4.46% spread. SOE dynamics and the 2021 tech crackdown complicate the picture.

Growth of $10,000 invested in FCF Conversion Quality vs SSE Composite on Chinese A-shares from 2000 to 2025. Strategy grew to ~$36K, SSE to ~$18K.

quality investing

FCF Conversion Quality on Chinese A-Shares: +2.83% Over SSE Composite in a Volatile Market

Chinese A-shares returned 5.26% CAGR, beating the SSE Composite (2.43%) by 2.83% annually. 60% win rate, 73.86% down capture, and zero cash periods. $10K grew to ~$36K vs ~$18K for the index. Volatile but FCF quality adds value.

EV/EBITDA sector-relative strategy on China A-shares (SHZ+SHH) vs SSE Composite cumulative returns 2000-2025.

China stocks

EV/EBITDA Sector-Relative Value on China A-Shares: When the Signal Can't Help You

We backtested sector-relative EV/EBITDA on 25 years of China A-share data (SHZ+SHH). 4.14% CAGR vs 3.54% SSE Composite, +0.60% excess. But Sharpe 0.038 and -64.15% max drawdown tell the real story. The signal barely beats a market that itself barely returns anything. Discounts in China follow...

P/E compression

China P/E Compression: -0.68% CAGR, -8.32% vs SPY

P/E compression on Chinese stocks delivers -0.68% CAGR vs 7.64% SPY, the worst absolute performance among all tested markets. Negative Sharpe and -63.70% max drawdown show P/E dynamics differ fundamentally in Chinese markets.