China stocks - Ceta Research

EV/EBITDA sector-relative strategy on China A-shares (SHZ+SHH) vs the SSE Composite, cumulative returns 2000-2024.

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). 4.11% CAGR vs 3.54% SSE Composite, +0.57% excess. But Sharpe 0.039 and a -64.72% max drawdown tell the real story: the signal barely beats a market that barely returns anything. Discounts follow policy, not value.

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.

P/E compression

China P/E Compression: +1.07% CAGR, -2.48% vs the SSE Composite

P/E compression on Chinese stocks returns 1.07% a year against 3.54% for the SSE Composite. Fully invested for all 25 years, so this failure isn't a data artifact. Negative Sharpe, -70% max drawdown, 94% down-capture.

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.