港股量化系列研究之一：南向资金在港股行业轮动中的应用

Quantitative Models and Construction Methods 1. Model Name: Southbound Capital Monthly Net Purchase Model - Model Construction Idea: This model uses the monthly net purchase amount of Southbound Capital to evaluate its effectiveness in driving sector rotation in the Hong Kong stock market[12][40]. - Model Construction Process: - The net purchase amount for each stock is calculated as: $S_{i,t} = (N_{i,t} - N_{i,t-1}) * P_{i,t}$ Where: $N_{i,t}$ = Southbound Capital holdings of stock $i$ on day $t$[37] $P_{i,t}$ = Average price of stock $i$ on day $t$[37] - The sector-level net purchase amount is aggregated as: $Ind_{t} = \sum S_{i,t}$ Where $Ind_{t}$ represents the cumulative net purchase amount for the sector on day $t$[37]. - Model Evaluation: The model demonstrates a positive Rank IC mean, indicating its effectiveness in sector rotation strategies[40]. 2. Model Name: Market Cap-Adjusted Southbound Capital Model - Model Construction Idea: Adjust the Southbound Capital net purchase amount by sector market capitalization to improve strategy performance[40]. - Model Construction Process: - The net purchase amount is calculated as in the previous model. - Adjustments are made based on the market capitalization of each sector to normalize the influence of large-cap sectors[40]. - Model Evaluation: This adjustment improves strategy returns and reduces maximum drawdown compared to the unadjusted model[46][48]. 3. Model Name: Three-Year Percentile Southbound Capital Model - Model Construction Idea: Use the three-year percentile rank of Southbound Capital net purchases to identify sector preferences over a longer historical period[40]. - Model Construction Process: - Calculate the three-year percentile rank of the net purchase amount for each sector. - Rank sectors based on their percentile values to determine rotation preferences[40]. - Model Evaluation: The three-year percentile model provides a longer-term perspective but shows slightly lower Rank IC values compared to the unadjusted model[40]. 4. Model Name: Market Cap-Adjusted Three-Year Percentile Model - Model Construction Idea: Combine market capitalization adjustments with the three-year percentile rank to enhance strategy robustness[40]. - Model Construction Process: - Apply market cap adjustments to the three-year percentile rank of net purchases. - Rank sectors based on the adjusted values to guide rotation decisions[40]. - Model Evaluation: This model achieves the best overall performance, with the highest Sharpe ratio and IR among all tested strategies[46][48]. --- Model Backtest Results 1. Southbound Capital Monthly Net Purchase Model - Annualized Return: 4.73% - Excess Return: 3.22% - Maximum Drawdown: 56.01% - Sharpe Ratio: 0.3130 - IR: 0.3864[52] 2. Market Cap-Adjusted Southbound Capital Model - Annualized Return: 5.40% - Excess Return: 3.89% - Maximum Drawdown: 50.24% - Sharpe Ratio: 0.3384 - IR: 0.3901[52] 3. Three-Year Percentile Southbound Capital Model - Annualized Return: 3.61% - Excess Return: -2.05% - Maximum Drawdown: 54.33% - Sharpe Ratio: 0.2704 - IR: 0.1498[52] 4. Market Cap-Adjusted Three-Year Percentile Model - Annualized Return: 7.99% - Excess Return: 2.33% - Maximum Drawdown: 45.84% - Sharpe Ratio: 0.4350 - IR: 0.4713[52] --- Quantitative Factors and Construction Methods 1. Factor Name: Southbound Capital Monthly Net Purchase - Factor Construction Idea: Measure the monthly net purchase amount of Southbound Capital to assess its impact on sector rotation[40]. - Factor Construction Process: - Calculate the net purchase amount for each stock and aggregate it at the sector level as described in the model construction process[37]. - Factor Evaluation: The factor shows a positive Rank IC mean, indicating its predictive power for sector rotation[40]. 2. Factor Name: Market Cap-Adjusted Southbound Capital - Factor Construction Idea: Adjust the net purchase amount by sector market capitalization to reduce bias from large-cap sectors[40]. - Factor Construction Process: - Apply market cap adjustments to the net purchase amount as described in the model construction process[40]. - Factor Evaluation: The adjustment improves the factor's effectiveness, as evidenced by higher Rank IC values[40]. 3. Factor Name: Three-Year Percentile Southbound Capital - Factor Construction Idea: Use the three-year percentile rank of net purchases to capture longer-term sector preferences[40]. - Factor Construction Process: - Calculate the three-year percentile rank for each sector's net purchase amount[40]. - Factor Evaluation: The factor provides a longer-term perspective but shows slightly lower Rank IC values compared to the unadjusted factor[40]. 4. Factor Name: Market Cap-Adjusted Three-Year Percentile - Factor Construction Idea: Combine market cap adjustments with the three-year percentile rank to enhance factor robustness[40]. - Factor Construction Process: - Apply market cap adjustments to the three-year percentile rank as described in the model construction process[40]. - Factor Evaluation: This factor achieves the best overall performance, with the highest Rank IC values among all tested factors[40]. --- Factor Backtest Results 1. Southbound Capital Monthly Net Purchase Factor - Rank IC Mean: 7.72% - Rank IC t-Value: 24.31%[41] 2. Market Cap-Adjusted Southbound Capital Factor - Rank IC Mean: 5.15% - Rank IC t-Value: 15.66%[41] 3. Three-Year Percentile Southbound Capital Factor - Rank IC Mean: 4.13% - Rank IC t-Value: 12.75%[41] 4. Market Cap-Adjusted Three-Year Percentile Factor - Rank IC Mean: 4.55% - Rank IC t-Value: 14.82%[41]