港股投资周报：医药板块领涨，港股精选组合本周上涨1.92%，年内上涨41.30%-20250705

Quantitative Models and Construction Methods - Model Name: Guosen Securities Hong Kong Stock Selection Portfolio Model Construction Idea: The model is based on a dual-layer selection process combining fundamental and technical analysis to identify stocks with both fundamental support and technical resonance[15][17] Model Construction Process: 1. Analyst Recommendation Pool: Constructed using analyst events such as upward earnings revisions, first-time coverage, and research report titles exceeding expectations[17] 2. Selection Criteria: - Fundamental Dimension: Stocks with strong fundamental support - Technical Dimension: Stocks showing technical resonance 3. Backtesting Period: From January 1, 2010, to June 30, 2025, with full exposure and transaction costs considered[17] Formula: Not explicitly provided in the report Model Evaluation: Demonstrates strong annualized returns and significant excess returns relative to the Hang Seng Index[17] - Model Name: Stable New High Stock Screening Model Construction Idea: Inspired by momentum and trend-following strategies, focusing on stocks that recently hit 250-day highs with stable price paths[22][24] Model Construction Process: 1. 250-Day New High Distance Calculation: $ 250\ Day\ New\ High\ Distance = 1 - \frac{Close_{latest}}{ts_max(Close, 250)} $ - Close_latest: Latest closing price - ts_max(Close, 250): Maximum closing price in the past 250 trading days[24] 2. Screening Criteria: - Analyst Attention: At least 5 buy or overweight ratings in the past 6 months - Relative Strength: Top 20% in 250-day returns within the sample pool - Price Stability: Comprehensive scoring based on price path smoothness and trend continuation metrics[25] Model Evaluation: Effective in identifying stocks with stable upward trends, particularly in sectors like healthcare and finance[24][25] --- Model Backtesting Results - Guosen Securities Hong Kong Stock Selection Portfolio: - Annualized Return: 19.11% - Excess Return Relative to Hang Seng Index: 18.48% - Information Ratio (IR): 1.22 - Tracking Error: 14.55% - Maximum Drawdown: 23.73%[21][17][19] - Stable New High Stock Screening: - Sector Distribution: - Healthcare: 15 stocks - Finance: 15 stocks - Technology: 7 stocks - Cyclical: 5 stocks - Consumer: 4 stocks[24][25] --- Quantitative Factors and Construction Methods - Factor Name: 250-Day New High Distance Factor Construction Idea: Measures the proximity of the latest closing price to the 250-day high, indicating momentum strength[24] Factor Construction Process: $ 250\ Day\ New\ High\ Distance = 1 - \frac{Close_{latest}}{ts_max(Close, 250)} $ - Close_latest: Latest closing price - ts_max(Close, 250): Maximum closing price in the past 250 trading days[24] Factor Evaluation: Demonstrates strong predictive power for identifying stocks with upward momentum[24] --- Factor Backtesting Results - 250-Day New High Distance: - Sector Distribution: - Healthcare: 15 stocks - Finance: 15 stocks - Technology: 7 stocks - Cyclical: 5 stocks - Consumer: 4 stocks[24][25]