港股投资周报：材料行业领涨，港股精选组合年内上涨57.14%-20251227

• The "Hong Kong Stock Selection Portfolio" strategy is constructed based on a dual-layer selection process that combines fundamental and technical analysis. The initial stock pool is built using analyst recommendation events, such as upward earnings revisions, first-time coverage, and unexpected positive research report titles. From this pool, 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 after considering transaction costs in a fully invested state [14][16] - The "Stable New High Stock Screening" factor is constructed to identify stocks that have recently reached a 250-day high and exhibit stable price paths. The 250-day new high distance is calculated as follows: $ 250\text{-day new high distance} = 1 - \frac{Close_t}{ts_max(Close, 250)} $ Where $ Close_t $ is the latest closing price, and $ ts_max(Close, 250) $ is the maximum closing price over the past 250 trading days. A value of 0 indicates a new high, while positive values indicate a decline from the peak. Stocks are further filtered based on analyst attention (at least five buy or overweight ratings in the past six months), relative strength (top 20% in 250-day returns), price stability (evaluated using price path smoothness and 250-day new high distance averages over 120 days), and trend continuation (average 250-day new high distance over the past five days). The top 50 stocks are selected based on these criteria [23][24] - The backtesting results for the "Hong Kong Stock Selection Portfolio" show an annualized return of 19.11%, an excess return of 18.48% relative to the Hang Seng Index, and a maximum drawdown of 23.73% over the entire sample period. The information ratio (IR) is 1.22, with a tracking error of 14.55% and a return-to-drawdown ratio of 0.78 [20] - The "Stable New High Stock Screening" factor identified stocks primarily in the cyclical sector (9 stocks), followed by financials (4 stocks), technology (3 stocks), manufacturing (3 stocks), and consumer sectors (3 stocks) during the recent period. Specific stocks include Global New Material International and others [23][24]