Quantitative Models and Construction Methods 1. Model Name: Hong Kong Stock Selection Portfolio - Model Construction Idea: The model aims to select stocks with both fundamental support and technical resonance from an analyst-recommended stock pool[14][15] - Model Construction Process: - Step 1: Construct an analyst-recommended stock pool based on three types of analyst recommendation events: upward earnings forecast revisions, initial analyst coverage, and analyst report titles exceeding expectations[15] - Step 2: Perform dual-layer selection on the analyst-recommended stock pool using fundamental and technical dimensions to select stocks with both fundamental support and technical resonance[15] - Step 3: The backtest period for the Hong Kong Stock Selection Portfolio is from January 1, 2010, to December 31, 2025. Considering transaction costs in a fully invested state, the portfolio's annualized return is 19.08%, with an excess return of 18.06% relative to the Hang Seng Index[15] - Model Evaluation: The model demonstrates a strong performance with significant excess returns over the Hang Seng Index, indicating its effectiveness in stock selection[15] Model Backtest Results - Hong Kong Stock Selection Portfolio: - Annualized Return: 19.08%[15] - Excess Return: 18.06% relative to the Hang Seng Index[15] - Information Ratio (IR): 1.19[20] - Tracking Error: 14.60%[20] - Maximum Drawdown: 23.73%[20] - Return-to-Drawdown Ratio: 0.76[20] Quantitative Factors and Construction Methods 1. Factor Name: Stable New High Stocks - Factor Construction Idea: The factor aims to identify stocks that have recently reached new highs and exhibit stable price paths, leveraging the momentum and trend-following strategies that are particularly effective in the Hong Kong market[21] - Factor Construction Process: - Step 1: Calculate the 250-day new high distance using the formula: where $Close_t$ is the latest closing price, and $\text{ts_max(Close, 250)}$ is the maximum closing price over the past 250 trading days[23] - Step 2: Screen stocks that have reached a 250-day new high in the past 20 trading days based on analyst attention, relative stock strength, price path stability, and new high continuity[23] - Step 3: Select stocks with the following criteria: - Analyst attention: At least 5 buy or hold ratings in the past 6 months - Relative stock strength: Top 20% in terms of price change over the past 250 days - Price path stability: Top 50% based on price displacement ratio and 250-day new high distance over the past 120 days - Trend continuity: Top 50 stocks based on the 250-day new high distance over the past 5 days[24] - Factor Evaluation: The factor effectively captures stocks with strong momentum and stable price paths, which are likely to continue their upward trends[21][23] Factor Backtest Results - Stable New High Stocks: - Example Stocks: J&T Express-W, China Eastern Airlines, Youran Dairy, Hansoh Pharmaceutical, China XLX Fertilizer, etc.[23][29] - Sector Distribution: Most new high stocks are in the cyclical sector, followed by finance, technology, consumer, manufacturing, and healthcare sectors[23][29]
港股投资周报：物科技领涨，港股精选组合本周相对恒指超额4.12%-20260110
Guoxin Securities·2026-01-10 08:27