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金融工程定期：港股量化：8月组合超额0.7%，9月增配非银
KAIYUAN SECURITIES·2025-08-31 02:15
  • Model Name: Hong Kong Stock Selection 20 Portfolio; Model Construction Idea: The model selects the top 20 stocks with the highest scores at the end of each month and constructs an equally weighted portfolio; Model Construction Process: The model uses four types of factors (technical, capital, fundamental, and analyst expectations) to evaluate Hong Kong Stock Connect constituent stocks. The portfolio is benchmarked against the Hong Kong Composite Index (HKD) (930930.CSI). The formula for the excess annualized return is: Excess Annualized Return=Portfolio Return−Benchmark ReturnBenchmark Return \text{Excess Annualized Return} = \frac{\text{Portfolio Return} - \text{Benchmark Return}}{\text{Benchmark Return}} Model Evaluation: The model has shown superior performance in the Hong Kong Stock Connect constituent stocks[4][32][34] - Factor Name: Technical Factor; Factor Construction Idea: The factor is based on technical indicators; Factor Construction Process: The factor is constructed using various technical indicators such as moving averages, relative strength index (RSI), and others. The formula for the technical factor score is: Technical Factor Score=∑i=1nwi⋅Indicatori \text{Technical Factor Score} = \sum_{i=1}^{n} w_i \cdot \text{Indicator}_i where wi w_i represents the weight of each indicator and Indicatori \text{Indicator}_i represents the value of each technical indicator; Factor Evaluation: The technical factor has shown good performance in the Hong Kong Stock Connect constituent stocks[32][33] - Factor Name: Capital Factor; Factor Construction Idea: The factor is based on capital flow data; Factor Construction Process: The factor is constructed using data on capital inflows and outflows. The formula for the capital factor score is: Capital Factor Score=Capital Inflow−Capital OutflowTotal Capital \text{Capital Factor Score} = \frac{\text{Capital Inflow} - \text{Capital Outflow}}{\text{Total Capital}} Factor Evaluation: The capital factor has shown good performance in the Hong Kong Stock Connect constituent stocks[32][33] - Factor Name: Fundamental Factor; Factor Construction Idea: The factor is based on fundamental financial data; Factor Construction Process: The factor is constructed using various financial metrics such as price-to-earnings ratio (P/E), return on equity (ROE), and others. The formula for the fundamental factor score is: Fundamental Factor Score=∑i=1nwi⋅Metrici \text{Fundamental Factor Score} = \sum_{i=1}^{n} w_i \cdot \text{Metric}_i where wi w_i represents the weight of each metric and Metrici \text{Metric}_i represents the value of each financial metric; Factor Evaluation: The fundamental factor has shown good performance in the Hong Kong Stock Connect constituent stocks[32][33] - Factor Name: Analyst Expectations Factor; Factor Construction Idea: The factor is based on analyst ratings and expectations; Factor Construction Process: The factor is constructed using data on analyst ratings, target prices, and earnings forecasts. The formula for the analyst expectations factor score is: Analyst Expectations Factor Score=∑i=1nwi⋅Analyst Ratingi \text{Analyst Expectations Factor Score} = \sum_{i=1}^{n} w_i \cdot \text{Analyst Rating}_i where wi w_i represents the weight of each analyst rating and Analyst Ratingi \text{Analyst Rating}_i represents the value of each analyst rating; Factor Evaluation: The analyst expectations factor has shown good performance in the Hong Kong Stock Connect constituent stocks[32][33] Model Backtest Results - Hong Kong Stock Selection 20 Portfolio, Excess Annualized Return: 13.8%, Excess Annualized Volatility: 13.3%, Excess Return Volatility Ratio: 1.0, Maximum Drawdown: 18.2%[35][36][37]