华宝恒生港股通创新药精选ETF：基本面与估值修复双击区

Quantitative Models and Factor Analysis Quantitative Models and Construction Methods Model Name: Hong Kong Stock Market Quantitative Timing Model - Model Construction Idea: The model is built around the Hang Seng Index, selecting indicators from five dimensions: fundamentals, liquidity, capital flows, sentiment, and valuation to analyze the factors influencing the rise and fall of the Hong Kong stock market[15]. - Model Construction Process: - Fundamentals: OECD China Economic Leading Indicator - Liquidity: US-Hong Kong interest rate spread, US Dollar Index, US Treasury yields - Sentiment: Hang Seng Index options put-call ratio (PCR), Hong Kong stock short-selling turnover ratio - Capital Flows: Net foreign capital inflows, Southbound capital - Valuation: AH premium index[14] - Model Evaluation: The model successfully captured the policy-driven rebound in the Hong Kong stock market from September 23, 2024, to October 10, 2024, and avoided the subsequent downturn by maintaining a predominantly cash position. The model turned bullish again in early 2025 as passive foreign capital accelerated its layout in Hong Kong stocks[15]. Model Backtesting Results - Hong Kong Stock Market Quantitative Timing Model: - Successfully captured the policy-driven rebound in the Hong Kong stock market from September 23, 2024, to October 10, 2024[15] - Maintained a predominantly cash position during the subsequent market adjustment, avoiding the downturn[15] - Turned bullish again in early 2025 as passive foreign capital accelerated its layout in Hong Kong stocks[15] Quantitative Factors and Construction Methods Factor Name: OECD China Economic Leading Indicator - Factor Construction Idea: This factor is used to gauge the economic outlook of China, which is a significant driver for the Hong Kong stock market[15]. - Factor Construction Process: The OECD China Economic Leading Indicator is used directly as a measure of economic activity and outlook[15]. Factor Name: Hang Seng Index Options Put-Call Ratio (PCR) - Factor Construction Idea: This factor measures market sentiment by comparing the volume of put options to call options on the Hang Seng Index[15]. - Factor Construction Process: The put-call ratio (PCR) is calculated as follows: $\text{PCR} = \frac{\text{Volume of Put Options}}{\text{Volume of Call Options}}$ - Explanation: A higher PCR indicates a bearish sentiment, while a lower PCR indicates a bullish sentiment[15]. Factor Name: Net Foreign Capital Inflows - Factor Construction Idea: This factor tracks the net amount of foreign capital flowing into the Hong Kong stock market, indicating the level of foreign investor interest and confidence[15]. - Factor Construction Process: The net foreign capital inflows are measured by the total amount of foreign capital entering the market minus the total amount exiting the market[15]. Factor Backtesting Results - OECD China Economic Leading Indicator: - Successfully indicated the economic outlook and supported the model's timing decisions[15] - Hang Seng Index Options Put-Call Ratio (PCR): - Provided effective signals for market sentiment, aiding in the timing of market entries and exits[15] - Net Foreign Capital Inflows: - Accurately reflected foreign investor interest and confidence, contributing to the model's performance[15]