港股投资周报：恒生科技回调，港股精选组合年内超恒指24.56%-20250802

Quantitative Models and Construction Methods 1. Model Name: Hong Kong Stock Selection Portfolio Strategy - Model Construction Idea: The strategy 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 forecast revisions, initial analyst coverage, and research reports with unexpected positive titles[14] 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[14] - Model Evaluation: The strategy 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] 2. Model Name: Stable New High Stock Screening - Model Construction Idea: This model leverages the momentum effect, which is particularly significant in the Hong Kong stock market. It identifies stocks that have recently reached a 250-day high and exhibit stable price paths[19][21] - 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[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 sample pool - Price Stability: Top 50% based on a composite score of price path smoothness and new high persistence[22] - Trend Continuation: Top 50 stocks based on the average 250-day high distance over the past five days[22] - Model Evaluation: The model effectively identifies stocks with strong momentum and stable price paths, making it a useful tool for trend-following strategies[19][21] --- Model Backtesting Results 1. Hong Kong Stock Selection Portfolio Strategy - Annualized Return: 19.11% - Excess Return (Relative to Hang Seng Index): 18.48% - Maximum Drawdown: 23.73% - Information Ratio (IR): 1.22 - Tracking Error: 14.55% - Return-to-Drawdown Ratio: 0.78[18] 2. Stable New High Stock Screening - Sector Distribution: - Healthcare: 16 stocks - Finance: 9 stocks - Technology: 8 stocks - Consumer: 8 stocks - Cyclicals: 3 stocks[21][22]