金融工程定期：港股量化：南下资金创2021年2月以来新高，10月增配有色

• The report introduces a multi-factor model for Hong Kong stocks, which includes four categories of factors: technical, capital, fundamental, and analyst expectations[12][36][37] - The construction of the "Hong Kong Stock Preferred 20 Portfolio" is based on selecting the top 20 stocks with the highest scores from the Hong Kong Stock Connect sample stocks at the end of each month, using an equal-weighted approach. The benchmark index is the Hong Kong Composite Index (930930.CSI)[5][39][40] - The "Hong Kong Stock Preferred 20 Portfolio" demonstrates an annualized excess return of 12.9% over the entire backtesting period (2015.1~2025.9), with an excess return volatility ratio of 1.0[5][40] - In September 2025, the portfolio's return was 0.25%, while the benchmark index return was 7.65%, resulting in an excess return of -7.41%[5][39] - The October 2025 portfolio allocation increased its exposure to the non-ferrous metals sector, reflecting adjustments based on market trends[6][43][44]