港股研究框架系列（一）：如何构建A股、港股轮动交易策略

Strategy Overview - Utilize the AH premium index as a core tool for A-share and H-share rotation strategies, driven by the US dollar cycle and global economic policy uncertainty[3] - Two main strategies: "Trend" strategy based on US dollar index predictions and "Error" strategy using deviations from the "reasonable" AH premium level[4] Tactical Indicators - Profit Expectation Divergence: Use MSCI China and CSI 300 forward 12-month Bloomberg consensus earnings expectations to identify market mispricing opportunities[5] - Key Fund Flows: Monitor short-selling ratios, A-share capital net purchases, and southbound fund inflows into Hong Kong property for tactical signals[6] - Holiday Gap Arbitrage: Exploit trading date discrepancies during holidays like National Day and Spring Festival for potential arbitrage opportunities[7] Model Performance - The scoring system effectively identified A-share opportunities twice in 2023 and H-share opportunities three times from late 2023 to 2024[3] - The model's error-based strategy successfully captured market mispricing, particularly during the H-share rally in 2024[4] Risk Factors - Data disclosure and measurement errors could impact the accuracy of the model[8] - The model may underperform during strong trend markets, such as the 4Q22-1Q23 H-share rally, where traditional indicators were less effective[101] Case Studies - Successful Case (2024 Aug-Sep): The scoring system accurately signaled H-share opportunities based on AH premium deviations, profit expectation divergence, and key fund flow indicators[92] - Unidentified Case (4Q22-1Q23): The model failed to capture the H-share rally due to the dominance of external factors like the US dollar index and domestic policy changes[99]