港股投资周报：多只港股医药创一年新高，港股精选组合年内上涨49.59%-20250719

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[15][17]. - Model Construction Process: - Step 1: Construct the analyst-recommended stock pool based on events such as analyst upward earnings forecast revisions, first-time analyst attention, and analyst report titles exceeding expectations[17]. - Step 2: Perform fundamental and technical selection from the analyst-recommended stock pool to pick stocks with both fundamental support and technical resonance[17]. - Backtesting Period: 2010-01-01 to 2025-06-30, considering transaction costs, the portfolio's annualized return is 19.11%, with an excess return of 18.48% relative to the Hang Seng Index[17]. - Model Evaluation: The model effectively combines fundamental and technical analysis to achieve significant excess returns over the Hang Seng Index[17]. Model Backtesting Results - Guosen Golden Engineering Hong Kong Stock Selection Portfolio: - Absolute Return: 49.59% (2025)[2][18] - Excess Return Relative to Hang Seng Index: 25.83% (2025)[2][18] - Annualized Return: 19.11%[17] - Excess Return Relative to Hang Seng Index: 18.48%[17] - Information Ratio (IR): 1.22[20] - Tracking Error: 14.55%[20] - Maximum Drawdown: 23.73%[20] - Return-to-Drawdown Ratio: 0.78[20] Quantitative Factors and Construction Methods Factor Name: Stable New High Stock Selection - Factor Construction Idea: The factor aims to identify stocks that have recently reached new highs and exhibit stable price paths, leveraging momentum and trend-following strategies[21][23]. - Factor Construction Process: - Formula: $ 250 \text{ Day New High Distance} = 1 - \frac{\text{Close}{t}}{\text{ts_max(Close, 250)}} $ - Explanation: $\text{Close}{t}$ represents the latest closing price, and $\text{ts_max(Close, 250)}$ represents the maximum closing price over the past 250 trading days[23]. - Selection Criteria: - Analyst Attention: At least 5 buy or hold ratings in the past 6 months[24]. - Relative Strength: Top 20% in terms of price change over the past 250 days[24]. - Price Stability: Comprehensive scoring based on price path smoothness and new high persistence over the past 120 days[24]. - Trend Continuation: Average 250-day new high distance over the past 5 days, selecting the top 50 stocks[24]. - Factor Evaluation: The factor effectively captures stocks with strong momentum and stable price paths, which are likely to continue their upward trends[21][23][24]. Factor Backtesting Results - Stable New High Stock Selection: - Absolute Return: 267.4% (康方生物)[23][29] - 250-Day New High Distance: 0.0% (康方生物)[23][29] - Past 250-Day Price Change: 52.9% (康方生物)[23][29] - Past 20-Day Price Change: 52.9% (康方生物)[23][29] - Analyst Report Count: 46 (康方生物)[23][29]