港股投资周报：恒生科技领涨，港股精选组合年内上涨69.75%-20251025

• The "Hong Kong Stock Selection Portfolio" aims to construct a portfolio by dual-layer screening based on fundamental and technical aspects of stocks recommended by analysts. The portfolio is built using analyst recommendation events such as upward earnings forecast revisions, initial coverage, and unexpected 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[14][15][19] - The "Stable New High Stock Screening Method" identifies stocks that have reached new highs in the past 20 trading days. The screening criteria include analyst attention, relative stock strength, price path stability, and continuity of new highs. The calculation for the 250-day new high distance is as follows: $ 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 new high distance of 0 indicates the latest closing price has reached a new high, while a positive value indicates the degree of fallback from the new high[20][22][23] - The screening process for stable new high stocks involves selecting stocks from the entire Hong Kong stock pool (excluding stocks listed for less than 15 months). Stocks are filtered based on analyst attention (at least 5 buy or overweight ratings in the past 6 months), relative stock strength (top 20% in 250-day returns), and price stability. The final selection is based on price path smoothness and the average 250-day new high distance over the past 120 days and the past 5 days[23][22][20] - The backtesting results for the "Hong Kong Stock Selection Portfolio" show annualized returns of 19.11%, excess returns of 18.48%, and various performance metrics such as IR (1.22), tracking error (14.55%), and maximum drawdown (23.73%). The portfolio demonstrates consistent outperformance across different years, with notable returns in 2020 (66.59% absolute return, 70% excess return) and 2019 (42.85% absolute return, 33.78% excess return)[19][15][17]