金融工程定期：港股量化：10月港股市场表现不佳，11月增配中字头

• The report introduces the "Hong Kong Multi-Factor Model," which includes four categories of factors: technical, capital, fundamental, and analyst expectations. These factors are applied to Hong Kong Stock Connect constituent stocks and have demonstrated excellent performance in group analysis[36][41] - The "Hong Kong Stock Connect Preferred 20 Portfolio" is constructed monthly by selecting the top 20 stocks with the highest scores based on the multi-factor model. The portfolio is equally weighted, and the benchmark index is the Hong Kong Composite Index (HKD) (930930.CSI)[38] - The construction process of the "Hong Kong Stock Connect Preferred 20 Portfolio" involves evaluating stocks using the multi-factor model, ranking them based on their scores, and selecting the top 20 stocks for equal-weighted allocation[38] - The report evaluates the "Hong Kong Stock Connect Preferred 20 Portfolio" positively, noting its strong historical performance with an annualized excess return of 12.9% and an excess return volatility ratio of 1.0 over the period from January 2015 to October 2025[38][40] - The October 2025 performance of the "Hong Kong Stock Connect Preferred 20 Portfolio" showed a return of -3.8%, compared to the benchmark index return of -3.6%, resulting in an excess return of -0.1%[38] - The historical performance metrics of the "Hong Kong Stock Connect Preferred 20 Portfolio" include an annualized excess return of 12.9%, annualized excess volatility of 13.5%, excess return volatility ratio of 1.0, and maximum drawdown of 18.2% over the period from January 2015 to October 2025[39][40]