========= - The "Guosen JinGong Hong Kong Stock Selection Portfolio" aims to select stocks with both fundamental support and technical resonance from an analyst-recommended stock pool[14][15] - The portfolio's 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[15] - The portfolio construction involves selecting stocks based on analysts' upward earnings forecasts, initial coverage, and unexpected events in analyst reports[15] Portfolio Backtesting Results - Annualized return: 19.11%[15] - Excess return relative to the Hang Seng Index: 18.48%[15] - Maximum drawdown: 23.73%[20] - Information ratio (IR): 1.22[20] - Tracking error: 14.55%[20] - Return-to-drawdown ratio: 0.78[20] Stable New High Stock Screening Method - The method screens stocks that have reached a 250-day new high in the past 20 trading days based on analyst attention, relative stock strength, stock price stability, and continuity of new highs[23][24] - The formula for the 250-day new high distance is: where $Closet$ is the latest closing price and $ts_max(Close, 250)$ is the maximum closing price in the past 250 trading days[23] - Stocks are selected based on the absolute value of the past 120-day price change and the sum of the absolute values of the past 120-day price changes[23] Stable New High Stock Screening Results - The sector with the most new high stocks is the cyclical sector, followed by technology, consumer, financial, manufacturing, and pharmaceutical sectors[23] - Specific stocks that have reached stable new highs include China National Building Material, Hansoh Pharmaceutical, and others[23][29] - The screening criteria include analyst attention (at least 5 buy or hold ratings in the past 6 months), relative stock strength (top 20% in the past 250 days), and stock price stability (top 50% based on price path smoothness and new high continuity)[24] Performance of Hong Kong Stock Connect and Active Funds Investing in Hong Kong Stocks - Median return of Hong Kong Stock Connect stocks this week: -3.44%[44] - Median return of active funds investing in Hong Kong stocks this week: -3.79%[44] - Median return of Hong Kong Stock Connect stocks this year: 25.14%[44] - Median return of active funds investing in Hong Kong stocks this year: 34.50%[44] Top Performing Funds - This week: Ping An Hong Kong Stock Connect Dividend Select A (2.29%), China Merchants Bank Hong Kong and Shanghai Multi-Strategy (1.90%), Ping An Hong Kong Stock Connect Dividend Select A (1.88%)[45] - This year: China Universal Hong Kong Advantage Select A (140.23%), Bank of China Hong Kong Stock Connect Medical A (104.90%), E Fund Global Pharmaceutical Industry RMB A (93.97%)[45] =========
港股投资周报：港股精选组合年内上涨66.58%，相对恒指超额40.72%-20251018
Guoxin Securities·2025-10-18 07:52