Workflow
金融工程定期:港股量化:5月南下资金净流入有所放缓,6月增配价值
KAIYUAN SECURITIES·2025-06-04 06:13

Quantitative Models and Construction Methods 1. Model Name: Hong Kong Stock Multi-Factor Model - Model Construction Idea: The model integrates four categories of factors: technical, capital flow, fundamental, and analyst expectations, to evaluate Hong Kong Stock Connect constituent stocks[38][39] - Model Construction Process: 1. Select Hong Kong Stock Connect constituent stocks as the sample universe 2. Construct four categories of factors: - Technical factors: Indicators derived from price and volume data - Capital flow factors: Metrics based on fund flow data, such as net inflow - Fundamental factors: Metrics like valuation ratios (e.g., PE, PB) and profitability indicators (e.g., ROE) - Analyst expectation factors: Metrics based on analyst ratings and earnings forecasts 3. Combine these factors into a composite score for each stock 4. Rank stocks based on their composite scores and select the top 20 stocks to form the portfolio[38][39][40] - Model Evaluation: The model demonstrates strong performance in historical backtesting, with significant excess returns over the benchmark[38][40] 2. Model Name: Hong Kong Stock Preferred 20 Portfolio - Model Construction Idea: This portfolio is constructed monthly by selecting the top 20 stocks with the highest composite scores from the multi-factor model, using equal weighting[40] - Model Construction Process: 1. At the end of each month, rank stocks based on their composite scores from the multi-factor model 2. Select the top 20 stocks 3. Allocate equal weights to each stock in the portfolio 4. Use the Hong Kong Composite Index (HKD, 930930.CSI) as the benchmark for performance comparison[40] - Model Evaluation: The portfolio has shown robust performance over the long term, with a high excess annualized return and a stable risk-return profile[40][44] --- Model Backtesting Results 1. Hong Kong Stock Multi-Factor Model - Excess Annualized Return: 13.3% (2015.1–2025.5)[40][44] - Excess Annualized Volatility: 13.4%[44] - Excess Sharpe Ratio: 1.0[44] - Maximum Drawdown: 18.2%[44] 2. Hong Kong Stock Preferred 20 Portfolio - May 2025 Monthly Return: 2.44%[40] - May 2025 Excess Return: -2.36% (Benchmark return: 4.80%)[40] - Excess Annualized Return: 13.3% (2015.1–2025.5)[40][44] - Excess Annualized Volatility: 13.4%[44] - Excess Sharpe Ratio: 1.0[44] - Maximum Drawdown: 18.2%[44] --- Quantitative Factors and Construction Methods 1. Factor Name: Technical Factors - Factor Construction Idea: Derived from price and volume data to capture market trends and momentum[38][39] - Factor Construction Process: 1. Calculate indicators such as moving averages, RSI, and MACD 2. Normalize and rank the indicators across the stock universe 3. Combine the normalized scores into a composite technical factor score[38][39] 2. Factor Name: Capital Flow Factors - Factor Construction Idea: Based on fund flow data to identify stocks with strong capital inflows[38][39] - Factor Construction Process: 1. Measure net fund inflows for each stock 2. Normalize and rank the net inflow data 3. Combine the normalized scores into a composite capital flow factor score[38][39] 3. Factor Name: Fundamental Factors - Factor Construction Idea: Focused on valuation and profitability metrics to identify undervalued stocks with strong fundamentals[38][39] - Factor Construction Process: 1. Calculate valuation ratios (e.g., PE, PB) and profitability indicators (e.g., ROE) 2. Normalize and rank these metrics across the stock universe 3. Combine the normalized scores into a composite fundamental factor score[38][39] 4. Factor Name: Analyst Expectation Factors - Factor Construction Idea: Based on analyst ratings and earnings forecasts to capture market sentiment and expectations[38][39] - Factor Construction Process: 1. Collect analyst ratings and earnings forecast data 2. Normalize and rank the data 3. Combine the normalized scores into a composite analyst expectation factor score[38][39] --- Factor Backtesting Results 1. Technical Factors - Performance: Demonstrated strong predictive power in identifying stocks with upward momentum[38][39] 2. Capital Flow Factors - Performance: Effective in capturing stocks with significant fund inflows, indicating strong market interest[38][39] 3. Fundamental Factors - Performance: Successfully identified undervalued stocks with robust financial performance[38][39] 4. Analyst Expectation Factors - Performance: Provided valuable insights into market sentiment and future earnings potential[38][39]