港股投资周报：资源行业领涨，港股精选组合年内上涨50.61%-20250726

Quantitative Models and Construction Methods - Model Name: Hong Kong Stock Selection Portfolio Model Construction Idea: This model is based on a dual-layer selection process that integrates fundamental and technical analysis. It aims to identify stocks with both fundamental support and technical resonance from an analyst-recommended stock pool[13][14]. Model Construction Process: 1. Analyst Recommendation Pool: Constructed using three types of analyst recommendation events: upward earnings revisions, initial analyst coverage, and positive surprises in research report titles. 2. Dual-Layer Screening: - Fundamental Screening: Select stocks with strong fundamental support. - Technical Screening: Identify stocks with technical resonance. 3. Portfolio Backtesting: The backtesting period spans from January 1, 2010, to June 30, 2025. The portfolio assumes a fully invested position and accounts for transaction costs. Model Evaluation: The model demonstrates strong performance, with an annualized return of 19.11% and an excess return of 18.48% relative to the Hang Seng Index over the backtesting period[14]. - 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 a 250-day high. The approach emphasizes the effectiveness of momentum effects in the Hong Kong market[19]. Model Construction Process: 1. 250-Day High Distance Calculation: $ 250\text{-Day High Distance} = 1 - \frac{\text{Close}{\text{latest}}}{\text{ts_max}(\text{Close}, 250)} $ - $\text{Close}{\text{latest}}$: Latest closing price - $\text{ts_max}(\text{Close}, 250)$: Maximum closing price over the past 250 trading days - A value of 0 indicates a new high, while positive values represent the percentage drop from the high[21]. 2. Screening Criteria: - Analyst Attention: At least five "Buy" or "Overweight" ratings in the past six months. - Relative Strength: Top 20% in 250-day price change within the stock universe. - Price Stability: Stocks are ranked based on price path smoothness and new high persistence over the past 120 days. The top 50% (minimum 50 stocks) are selected. - Trend Continuation: Stocks are ranked based on the average 250-day high distance over the past five days, with the top 50 selected[22]. Model Evaluation: The model effectively identifies stocks with stable upward trends, making it a useful tool for momentum-based strategies[19][22]. Model Backtesting Results - Hong Kong Stock Selection Portfolio: - Annualized Return: 19.11% - Excess Return (vs. Hang Seng Index): 18.48% - Information Ratio (IR): 1.22 - Tracking Error: 14.55% - Maximum Drawdown: 23.73%[18] Quantitative Factors and Construction Methods - Factor Name: 250-Day High Distance Factor Construction Idea: This factor measures the proximity of a stock's latest closing price to its 250-day high, capturing momentum and trend-following characteristics[21]. Factor Construction Process: - Formula: $ 250\text{-Day High Distance} = 1 - \frac{\text{Close}{\text{latest}}}{\text{ts_max}(\text{Close}, 250)} $ - $\text{Close}{\text{latest}}$: Latest closing price - $\text{ts_max}(\text{Close}, 250)$: Maximum closing price over the past 250 trading days - Interpretation: A value of 0 indicates a new high, while positive values represent the percentage drop from the high[21]. Factor Evaluation: This factor is effective in identifying stocks with strong momentum, particularly in the Hong Kong market[19][21]. Factor Backtesting Results - 250-Day High Distance Factor: - Top Performing Sector: Healthcare (16 stocks identified) - Other Sectors: Financials (11 stocks), Consumer (9 stocks), Technology (9 stocks), Cyclical (4 stocks)[22][27]