FOF系列研究之七十六：广发中证香港创新药ETF投资价值分析

Quantitative Models and Construction 1. Model Name: Hang Seng Hong Kong Innovative Drug Index (CNY) - Model Construction Idea: The index selects up to 50 listed companies in the Hong Kong market whose main business involves innovative drug research and development, reflecting the overall performance of innovative drug-themed listed companies in Hong Kong[37][61] - Model Construction Process: - Sample Space: Combines the sample space of the CSI Hong Kong 300 Index and the CSI Hong Kong Stock Connect Composite Index[38] - Selection Criteria: - Liquidity: Average daily turnover over the past year must not be less than HKD 10 million - Business Focus: Companies involved in innovative drug R&D or providing related services are selected - Market Cap: Top 50 securities by average daily market cap over the past year are included, or all securities if fewer than 50 meet the criteria - Weighting Method: Free-float market capitalization weighting, with individual stock weights capped at 10%[38] - Adjustment Frequency: Semi-annual adjustments in June and December[38] - Model Evaluation: The index focuses on mid-to-large innovative drug enterprises, with a high degree of industry purity, as 100% of its constituents belong to the "Pharmaceuticals and Biotechnology" secondary industry[43][44] --- Model Backtesting Results 1. Hang Seng Hong Kong Innovative Drug Index - Annualized Return: 8.54% (2019.1.1 - 2025.5.31)[49][50] - Annualized Sharpe Ratio (IR): 0.41[49][50] - Annualized Volatility: 35.93%[49][50] - Maximum Drawdown: -68.18%[49][50]