港股投资周报：医药科技板块大跌，港股精选组合年内上涨56.87%-20251122

• The "Hong Kong Stock Selection Portfolio" model is constructed based on a dual-layer selection process, combining fundamental and technical analysis. It aims to identify stocks with both fundamental support and technical resonance, focusing on analyst-recommended stocks. The backtesting period for this portfolio spans 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][16][20] - The "Stable New High Stock Screening" factor is designed to identify stocks that have recently reached a 250-day high and exhibit stable price paths. 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(Close, 250)}} $ where $\text{Close}{t}$ is the latest closing price, and $\text{ts_max(Close, 250)}$ is the maximum closing price over the past 250 trading days. Stocks with a smaller distance are closer to their 250-day high. The screening process incorporates factors such as analyst attention, relative price strength, price path smoothness, and the persistence of new highs[21][23][24] - The backtesting results for the "Hong Kong Stock Selection Portfolio" show annualized returns of 19.11%, an IR of 1.22, and a tracking error of 14.55%. The maximum drawdown during the sample period was 23.73%[20] - The "Stable New High Stock Screening" factor identified stocks across various sectors, with the highest number of stocks in the cyclical sector (6 stocks), followed by consumer, manufacturing, healthcare, financials, and technology sectors. Specific stocks include China Eastern Airlines, BeiGene, and China Aluminum Corporation, among others[23][24][29]