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量化掘基系列之三十六：流动性边际改善下，如何布局港股投资热潮？
SINOLINK SECURITIES·2025-06-25 13:24

Quantitative Models and Factor Analysis Quantitative Models and Construction - Model Name: Hang Seng Stock Connect Index (HSISC) Model Construction Idea: The index selects all eligible securities from the Hang Seng Index constituents that qualify for Stock Connect, aiming to reflect the overall performance of these stocks traded via Stock Connect[26] Model Construction Process: 1. Sample Space: Constituents of the Hang Seng Index (base index)[26] 2. Selection Criteria: All securities eligible for Stock Connect[26] 3. Adjustment Mechanism: - Regular Adjustments: Quarterly adjustments to the index sample[26] - Temporary Adjustments: Replacement based on changes in the base index and Stock Connect eligibility[26] Model Evaluation: The index demonstrates high elasticity, providing significant beta returns during market uptrends[27] Quantitative Factors and Construction - Factor Name: Technical Factor Factor Construction Idea: Measures the exposure of the Hang Seng Stock Connect Index to technical indicators relative to the Hang Seng Index[38] Factor Construction Process: 1. Analyze the factor exposure of the Hang Seng Stock Connect Index relative to the Hang Seng Index[38] 2. Quantify the exposure value for the technical factor, which is -0.066[38] Factor Evaluation: The index shows notable exposure to technical factors, along with other factors such as profitability, dividends, and volatility[38] Backtesting Results of Models - Hang Seng Stock Connect Index: - Cumulative Return: 49.92%[29] - Annualized Return: 39.22%[29] - Annualized Volatility: 24.48%[29] - Sharpe Ratio: 1.60[29] - Maximum Drawdown: 20.08%[29] Backtesting Results of Factors - Technical Factor: Exposure value of -0.066[38] - Profitability Factor: Exposure value of -0.029[38] - Dividend Factor: Exposure value of 0.026[38] - Volatility Factor: Exposure value of 0.022[38] Additional Metrics for the Hang Seng Stock Connect Index - Valuation Metrics: - Price-to-Earnings (PE): 10.08x[40] - Price-to-Book (PB): 1.08x[40] - Profitability: Return on Equity (ROE): 10.63%[42] - Liquidity: Trading volume accounts for 52% of the Hang Seng Composite Index, with a historical low congestion percentile of 9%[45] - Dividend Yield: 4.76%, higher than the CSI All Share Index (2.68%) and CSI 300 Index (3.59%)[49]