港股选股策略研究：自由现金流策略初探

Core Insights - The report highlights the emergence of free cash flow (FCF) strategies as a new value blue-chip strategy in the Hong Kong stock market, with significant potential for application [3][4] - The FCF strategy is characterized by a selection logic based on the free cash flow ratio (FCF/enterprise value), which combines value and quality metrics, making it a dual-focused investment approach [3][4] Free Cash Flow Strategy Exploration - The report discusses the introduction of FCF strategy products in both A-share and Hong Kong markets, noting that the core selection logic remains the free cash flow ratio [9][10] - In the U.S. market, several ETFs utilize free cash flow as a selection criterion, indicating a broader acceptance of this strategy [11][13] Effectiveness of the FCF Factor in Hong Kong - The FCF factor has shown significant effectiveness in generating excess returns and possesses a unidirectional characteristic when tested in the Hong Kong market [4][5] - The "Hong Kong FCF30" strategy, based on TTM (Trailing Twelve Months) data, has achieved an annualized excess return of 8% and an annualized alpha of 9% over a 23-year backtest [4][5] Breakdown of the FCF30 Strategy - The FCF30 strategy demonstrates strong stock selection capabilities, although it lacks notable mid-level allocation ability [5] - The strategy consistently generates excess returns across most sectors, with the exception of the materials sector, which presents an opportunity for further optimization [5] Performance Analysis of A-share and U.S. Markets - The A-share FCF strategy has outperformed benchmarks over the long term, indicating its effectiveness and stability [43] - In contrast, the U.S. market's FCF strategies have shown less consistent long-term effectiveness, with varying performance across different ETFs [46][47] Construction of the FCF Strategy in Hong Kong - The report outlines the methodology for constructing the FCF strategy, including backtesting from 2002 to 2024, using the Hang Seng Composite Index as a benchmark [50][52] - The effectiveness of the strategy is validated through net value trends, showing that higher free cash flow ratios lead to significantly better performance compared to lower ratios [55]