港股量化洞察（2）：港股通持股与资金流中的选股信息

• The report constructs quantitative factors based on Hong Kong Stock Connect holding data, categorized into "stock factors" and "flow factors" to reflect the characteristics of Southbound capital movements and holdings [3][6][7] - Stock factors include Holding, HoldingValue, H2Volume, H2Share, and HoldingStability(N), which measure holding quantity, holding value, holding proportion relative to trading volume, free float shares, and holding stability over N days respectively [41][42] - Flow factors include ΔHolding, Inflow, Inflow2HV, Inflow2Amt, Inflow2Cap, and ΔHolding%, which measure changes in holding quantity, net buying, net buying proportion relative to holding value, trading amount, free float market value, and holding growth rate respectively [43][44] - The report highlights the complementary nature of stock and flow factors, where stock factors capture long-term preferences and institutional holding behavior, while flow factors reflect short-term momentum effects [7][39][45] - Stock factors perform better in low-valuation stock pools, with HoldingStability(3) and HoldingStability(10) showing monthly IC values of 4.13% and 6.42%, ICIR values of 1.52 and 2.02, and IC win rates of 65.05% and 69.90% respectively [8][77][86] - Flow factors perform better in large-cap and high-net-profit stock pools, with Inflow2HV, Inflow2Amt, and Inflow2Cap achieving monthly IC values of approximately 3% in large-cap stocks and over 4% in high-net-profit stocks, with ICIR values exceeding 1.5 and IC win rates above 65% [8][95][114] - A composite factor named "Holding and Flow Factor" was constructed by combining seven individual factors, including HoldingStability(3), HoldingStability(10), Inflow2HV(3), Inflow2Amt(3), Inflow2Cap(3), ΔHolding, and Inflow, after neutralization and standardization [134][135] - The Hong Kong Stock Connect Flow Select Portfolio, based on these factors, achieved an annualized return of 27.01%, with an annualized excess return of 20.19% compared to the benchmark index, and a Sharpe ratio of 0.88 [9][137][151] - After optimizing the stock selection space to include only large-cap, high-net-profit, and actively traded stocks, the adjusted portfolio achieved an annualized return of 21.70%, with an annualized excess return of 14.88% and a Sharpe ratio of 0.83 [140][144][145]