金融工程周报：短期略有超买，逢调积极布局-20251009

• The report introduces a multi-dimensional quantitative stock selection model for Hong Kong stocks, focusing on factors such as price-volume, cash flow, quality growth, and shareholder returns. Among these, shareholder returns and low volatility are identified as the only two long-term effective styles. Specific factors include 12-month annualized volatility, total asset cash recovery rate, shareholder returns (dividend yield + buyback ratio), ROE volatility, and year-over-year ROE_TTM, all of which demonstrate strong stock selection performance[5][19][24] - A systematic quantitative timing model for Hong Kong stocks is also discussed, which selects effective signals from single-factor tests. These signals include the OECD China Economic Leading Indicator, the put-call ratio (PCR) of Hang Seng Index options, and net foreign capital inflows. The model assigns scores based on these indicators, with a composite score above 0.5 signaling a buy for the Hang Seng Index, and below 0.5 signaling a sell[24][42][43] - The report highlights the performance of the Hong Kong "Golden Stock" portfolio, which achieved an absolute return of +107.51% since November 2024, outperforming the Hang Seng Index by +74.83%. Additionally, the "Hong Kong Quantitative Selection 30" portfolio delivered an absolute return of +41.43%, outperforming the Hong Kong High Dividend Index by +26.95%[5][19][22]