跨境投资洞察系列报告之三：港股择时宏观框架与量化策略

Group 1: Hong Kong Stock Market Overview - The Hong Kong stock market consists of 2,655 listed companies, with mainland enterprises accounting for 57% [6] - The Hang Seng Composite Index and Hang Seng Index focus on large-cap companies, with average market capitalizations of HKD 1,377 billion and HKD 4,916 billion respectively, translating to approximately RMB 1,256 billion and RMB 4,481 billion [6] - The volatility of the Hong Kong market is significantly lower than that of the A-share market, with a more stable annual return over the past 20 years [6][9] Group 2: Macro Drivers of the Hong Kong Stock Market - The global liquidity measured by the US dollar index has a strong negative correlation of 0.75 with the Hang Seng Index since 2017, indicating that fluctuations in the dollar index significantly impact the Hong Kong market [18][20] - The growth rate of private sector financing is a key macro factor influencing the long-term performance of both A-shares and Hong Kong stocks, with an upward trend generally leading to positive market performance for the Hang Seng Index [25][30] - The upward turning point of Hong Kong's M2 growth rate is a critical indicator for market rebounds, with current M2 growth supporting the positive outlook for the Hang Seng Index [31][33] - The decline in China's sovereign CDS spreads reflects an increase in foreign investor preference for Chinese assets, which has historically correlated with positive performance in the Hong Kong market [34][37] - The increasing share of southbound funds in the Hong Kong market indicates a growing marginal pricing power, with transaction volumes reaching over 50% this year [38][40] Group 3: Monthly Timing Strategy for Hong Kong Stocks - A backtest of five macro indicators from 2014 to 2022 shows that strategies based on the US dollar index, private sector financing growth, Hong Kong M2 growth, sovereign CDS spreads, and net buy transactions from the Hong Kong Stock Connect have annualized returns of 13.3%, 16.8%, 12.8%, 7.8%, and 24.5% respectively [2][43] - The composite macro indicator strategy, which uses an equal-weight voting method, achieved an annualized return of 22.3% in the out-of-sample period, outperforming individual indicators [2][47] - The overall annualized return of the composite strategy since 2014 is 13.9%, with a bullish signal win rate of 64.7% [76]