港股投资周报：港股医药短期调整，港股精选组合年内上涨33.46%-20250621

Quantitative Models and Construction Methods Model Name: Guosen Golden Engineering Hong Kong Stock Selection Portfolio - Model Construction Idea: The model aims to perform dual-layer selection based on fundamental and technical aspects from the analyst-recommended stock pool[14][15] - Model Construction Process: - Construct the analyst-recommended stock pool based on events such as analyst upward earnings forecast, first-time attention, and analyst report title exceeding expectations[15] - Perform fundamental and technical selection on the stocks in the analyst-recommended stock pool, selecting stocks with both fundamental support and technical resonance[15] - Backtesting period: 2010-01-01 to 2024-12-31, considering transaction costs in a full position state, the annualized return of the portfolio is 17.02%, and the excess return relative to the Hang Seng Index reaches 17.60%[15] - Model Evaluation: The model shows a significant annualized return and excess return relative to the Hang Seng Index, indicating strong performance[15] Model Backtesting Results - Guosen Golden Engineering Hong Kong Stock Selection Portfolio: - Absolute Return: -6.47% (weekly), 33.46% (year-to-date)[17] - Excess Return Relative to Hang Seng Index: -4.96% (weekly), 16.16% (year-to-date)[17] - Annualized Return: 17.02%[18] - Excess Return Relative to Hang Seng Index: 17.60%[18] - Information Ratio (IR): 1.19[18] - Tracking Error: 14.45%[18] - Return Drawdown Ratio: 0.74[18] - Maximum Drawdown: 23.73%[18] Quantitative Factors and Construction Methods Factor Name: 250-Day New High Distance - Factor Construction Idea: The factor measures the distance from the latest closing price to the highest closing price in the past 250 trading days, indicating the stock's momentum and trend-following effectiveness[21] - Factor Construction Process: - Formula: $ 250 \text{ Day New High Distance} = 1 - \frac{\text{Close}{t}}{\text{ts_max(Close, 250)}} $ - $\text{Close}{t}$ represents the latest closing price - $\text{ts_max(Close, 250)}$ represents the maximum closing price in the past 250 trading days[21] - If the latest closing price hits a new high, the 250-day new high distance is 0; if the latest closing price falls back from the new high, the 250-day new high distance is positive, indicating the extent of the fallback[21] - Factor Evaluation: The factor effectively captures the stock's momentum and trend-following characteristics, which are significant in the Hong Kong stock market[19][21] Factor Backtesting Results - 250-Day New High Distance: - Absolute Return: 55.9% (Anhui Wantong Expressway), 53.7% (SF Express), 44.4% (Jiangsu Ninghu Expressway)[27] - 20-Day Return: 22.7% (Anhui Wantong Expressway), 65.1% (SF Express), 13.2% (Jiangsu Ninghu Expressway)[27] - 250-Day New High Distance: 0.0% (Anhui Wantong Expressway), 0.0% (SF Express), 0.0% (Jiangsu Ninghu Expressway)[27] Additional Information - Analyst Attention: Stocks with at least 5 buy or hold ratings in the past 6 months[22] - Relative Strength: Stocks with 250-day return in the top 20% of the sample pool[22] - Price Stability: Comprehensive scoring using price displacement ratio and 250-day new high distance mean in the past 120 days[22] - Trend Continuation: 250-day new high distance mean in the past 5 days, selecting the top 50 stocks[22]