港股投资周报：多只有色股创一年新高，港股精选组合年内上涨76.55%-20251011

• The "Hong Kong Stock Selection Portfolio" model aims to construct a portfolio by combining fundamental and technical analysis of stocks recommended by analysts. The stock pool is built based on analyst recommendation events such as upward earnings forecast revisions, initial coverage, and exceeding expectations in research report titles. Stocks with both fundamental support and technical resonance are selected to form the portfolio. The backtesting period is from January 1, 2010, to June 30, 2025, with an annualized return of 19.11% and an excess return of 18.48% relative to the Hang Seng Index[13][14][19] - The "Stable New High Stock Screening" factor identifies stocks that have reached a 250-day high in the past 20 trading days. The screening process includes criteria such as analyst attention, relative stock strength, price path stability, and continuity of new highs. The calculation formula for the 250-day new high distance is: $ 250\text{-day new high distance} = 1 - \frac{\text{Close}{t}}{\text{ts_max}(\text{Close}, 250)} $ where $\text{Close}{t}$ represents the latest closing price, and $\text{ts_max}(\text{Close}, 250)$ is the maximum closing price over the past 250 trading days. A value of 0 indicates a new high, while positive values indicate the degree of fallback from the high[20][22][23] - The "Stable New High Stock Screening" factor evaluates stocks based on the following metrics: - Analyst attention: At least 5 buy or overweight ratings in the past 6 months - Relative stock strength: Top 20% in 250-day return within the sample pool - Price path stability: Comprehensive scoring based on price displacement ratio and average 250-day new high distance over the past 120 days - Continuity of new highs: Average 250-day new high distance over the past 5 days, selecting the top 50 ranked stocks[23] - The "Hong Kong Stock Selection Portfolio" model is evaluated positively for its ability to generate significant excess returns over the Hang Seng Index, with a robust annualized return of 19.11% during the backtesting period. The "Stable New High Stock Screening" factor is also positively assessed for its effectiveness in identifying stocks with strong momentum and stability, leveraging the proven efficacy of momentum and trend-following strategies in the Hong Kong market[13][14][20] - The backtesting results for the "Hong Kong Stock Selection Portfolio" model show annualized return of 19.11%, excess return of 18.48%, and information ratio (IR) of 1.22 over the entire sample period. The model also demonstrated a maximum relative drawdown of 23.73% and tracking error of 14.55%[19] - The "Stable New High Stock Screening" factor identified 15 stocks in the cyclical sector, 10 in technology, 7 in pharmaceuticals, 4 in consumer goods, 3 in financials, and 2 in manufacturing. Specific stocks include CGN Mining, which achieved a 250-day new high distance of 0% and a 250-day return of 129.4%[22][23][28]