Quantitative Models and Construction Methods 1. Model Name: Hong Kong Stock Selection Portfolio - Model Construction Idea: The model aims to select stocks from the analyst-recommended stock pool based on both fundamental and technical aspects, focusing on stocks with fundamental support and technical resonance[13][15]. - Model Construction Process: - Step 1: Construct an analyst-recommended stock pool based on events such as analyst earnings forecast upgrades, initial analyst coverage, and analyst report titles exceeding expectations[15]. - Step 2: Perform dual-layer selection on the stocks in the analyst-recommended stock pool from both fundamental and technical dimensions[15]. - Step 3: Select stocks that exhibit both fundamental support and technical resonance to construct the Hong Kong Stock Selection Portfolio[15]. - Backtesting Period: 2010-01-01 to 2025-06-30, with an annualized return of 19.11% and an excess return of 18.48% relative to the Hang Seng Index after considering transaction costs in a fully invested state[15]. - Model Evaluation: The model effectively combines fundamental and technical analysis to select outperforming stocks, demonstrating significant excess returns over the benchmark index[15]. Model Backtesting Results - Hong Kong Stock Selection Portfolio: - Absolute Return: 69.65% (2025 YTD)[17] - Excess Return Relative to Hang Seng Index: 37.18% (2025 YTD)[17] - Annualized Return: 19.11%[15] - Excess Return Relative to Hang Seng Index: 18.48%[15] - Information Ratio (IR): 1.22[19] - Tracking Error: 14.55%[19] - Maximum Drawdown: 23.73%[19] - Return-to-Drawdown Ratio: 0.78[19] Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - Factor Construction Idea: The factor measures the distance of the latest closing price from the highest closing price in the past 250 trading days, indicating the stock's momentum and trend-following potential[22]. - Factor Construction Process: - Formula: where $\text{Close}_{t}$ is the latest closing price, and $\text{ts_max(Close, 250)}$ is the maximum closing price in the past 250 trading days[22]. - Interpretation: If the latest closing price sets a new high, the 250-Day New High Distance is 0; if the latest closing price falls from the new high, the distance is positive, indicating the extent of the decline[22]. - Screening Criteria: Stocks that have set a 250-day new high in the past 20 trading days are filtered based on analyst attention, relative stock strength, price path stability, and new high continuity[22][23]. - Factor Evaluation: The factor effectively captures momentum and trend-following characteristics, which are significant in the Hong Kong stock market[20]. Factor Backtesting Results - 250-Day New High Distance Factor: - Absolute Return: 69.65% (2025 YTD)[17] - Excess Return Relative to Hang Seng Index: 37.18% (2025 YTD)[17] - Annualized Return: 19.11%[15] - Excess Return Relative to Hang Seng Index: 18.48%[15] - Information Ratio (IR): 1.22[19] - Tracking Error: 14.55%[19] - Maximum Drawdown: 23.73%[19] - Return-to-Drawdown Ratio: 0.78[19]
港股投资周报：医药板块领涨，港股精选组合年内上涨69.65%-20251115
Guoxin Securities·2025-11-15 07:16