金融工程定期：港股量化：7月组合超额6.8%，8月增配价值

Quantitative Models and Construction Methods Model Name: Hong Kong Stock Selection 20 Portfolio - Model Construction Idea: The model aims to track the monthly performance of a long portfolio by selecting the top 20 stocks with the highest scores based on multiple factors. The benchmark is the Hong Kong Composite Index (HKD) (930930.CSI) [40][42] - Model Construction Process: - The model uses four types of factors: technical, capital, fundamental, and analyst expectations [40][41] - At the end of each month, the top 20 stocks with the highest scores are selected and equally weighted to construct the Hong Kong Stock Selection 20 Portfolio [42] - Model Evaluation: The model has shown excellent performance in the Hong Kong Stock Connect sample stocks [40] Model Backtesting Results - Hong Kong Stock Selection 20 Portfolio: - July 2025: Portfolio return 11.6%, benchmark index return 4.8%, excess return 6.8% [42] - Overall Period (2015.1~2025.7): Excess annualized return 13.9%, excess return volatility ratio 1.0 [42][44] Quantitative Factors and Construction Methods Factor Name: Technical, Capital, Fundamental, Analyst Expectations - Factor Construction Idea: These factors are used to evaluate the performance of Hong Kong Stock Connect sample stocks [40] - Factor Construction Process: - Technical: Based on stock price movements and technical indicators - Capital: Based on capital flow and trading volume - Fundamental: Based on financial metrics such as PE ratio, ROE, etc. - Analyst Expectations: Based on analyst ratings and forecasts [40][41] - Factor Evaluation: These factors have shown excellent performance in the Hong Kong Stock Connect sample stocks [40] Factor Backtesting Results - Technical, Capital, Fundamental, Analyst Expectations: - July 2025: Excess annualized return 13.9%, excess return volatility ratio 1.0 [42][44]