港股投资周报：港股精选组合年内上涨43.22%，相对恒生指数超额22.88%-20250712

Quantitative Models and Construction Methods - Model Name: Hong Kong Stock Selection Portfolio Strategy Model Construction Idea: The strategy is based on a dual-layer selection process that combines fundamental and technical analysis to identify outperforming stocks from an analyst-recommended stock pool[14][15] Model Construction Process: 1. Analyst Recommendation Pool: Constructed using three types of analyst recommendation events: upward earnings revisions, first-time coverage, and research reports with unexpected positive titles[15] 2. Fundamental and Technical Screening: Stocks in the recommendation pool are further filtered based on fundamental support and technical resonance to identify stocks with both strong fundamentals and positive technical trends[15] 3. Backtesting: The backtesting period spans from January 1, 2010, to June 30, 2025, assuming a fully invested portfolio with transaction costs considered[15] Model Evaluation: The strategy demonstrates strong performance with significant excess returns over the Hang Seng Index[15] - Model Name: Stable New High Stock Screening Model Construction Idea: This model leverages momentum and trend-following strategies, focusing on stocks that have recently reached 250-day highs and exhibit stable price paths[20][22] Model Construction Process: 1. 250-Day High Distance Calculation: $ 250\text{-day high distance} = 1 - \frac{\text{Close}{\text{latest}}}{\text{ts_max(Close, 250)}} $ Where $\text{Close}{\text{latest}}$ is the latest closing price, and $\text{ts_max(Close, 250)}$ is the maximum closing price over the past 250 trading days[22] 2. Screening Criteria: - Stocks must have reached a 250-day high in the past 20 trading days - Analyst coverage: At least five "Buy" or "Overweight" ratings in the past six months - Relative strength: Top 20% in 250-day returns among all Hong Kong stocks - Stability: Evaluated using metrics such as price path smoothness and the time-series average of the 250-day high distance over the past 120 days[22][23] 3. Final Selection: The top 50 stocks based on stability and trend continuation metrics are selected[23] Model Evaluation: The model effectively identifies stocks with strong momentum and stable price trends, aligning with the principles of momentum investing[20][22] Model Backtesting Results - Hong Kong Stock Selection Portfolio Strategy: - Annualized Return: 19.11% - Excess Return over Hang Seng Index: 18.48% - Information Ratio (IR): 1.22 - Maximum Drawdown: 23.73%[15][19] - Stable New High Stock Screening: - Not explicitly quantified in the report, but the model identifies stocks with strong recent performance and stable price paths, such as those in the financial, healthcare, and consumer sectors[22][23] Quantitative Factors and Construction Methods - Factor Name: 250-Day High Distance Factor Construction Idea: Measures the proximity of the latest closing price to the highest closing price in the past 250 trading days, capturing momentum and trend-following characteristics[22] Factor Construction Process: $ 250\text{-day high distance} = 1 - \frac{\text{Close}_{\text{latest}}}{\text{ts_max(Close, 250)}} $ - If the latest closing price reaches a new high, the factor value is 0 - If the price has fallen from the high, the factor value is positive, indicating the degree of pullback[22] Factor Evaluation: This factor is effective in identifying stocks with strong momentum and limited pullbacks, which are likely to continue their upward trends[22] Factor Backtesting Results - 250-Day High Distance: - Specific performance metrics are not provided, but the factor is used to screen stocks with strong momentum and stable trends, contributing to the selection of outperforming stocks in the financial, healthcare, and consumer sectors[22][23]