港股投资周报：只周期股创一年新高，港股精选组合年内上涨6.17%-20260117

Quantitative Models and Construction Methods 1. Model Name: Hong Kong Stock Selection Portfolio - Model Construction Idea: The model is based on a dual-layer selection process combining fundamental and technical analysis to identify outperforming stocks from an analyst-recommended stock pool[14][15] - Model Construction Process: 1. Analyst Recommendation Pool: Constructed using the following events: - Analyst upward earnings revisions - Analyst initial coverage - Analyst report titles indicating unexpected positive events[15] 2. Dual-Layer Selection: - Fundamental Analysis: Stocks with strong fundamental support are selected - Technical Analysis: Stocks with technical resonance are chosen 3. Backtesting: - Backtesting period: 2010-01-01 to 2025-12-31 - Full-investment strategy considering transaction costs[15] - Formula: Not explicitly provided in the report - Model Evaluation: The model demonstrates strong performance with significant annualized returns and excess returns over the Hang Seng Index[15] 2. Model Name: Stable New High Stock Screening - Model Construction Idea: The model leverages momentum and trend-following strategies, focusing on stocks that have recently reached 250-day highs and exhibit stable price paths[20][22] - Model Construction Process: 1. 250-Day High Distance Calculation: - Formula: $ 250 \text{ Day High Distance} = 1 - \frac{\text{Close}{t}}{\text{ts_max(Close, 250)}} $ - $\text{Close}{t}$: Latest closing price - $\text{ts_max(Close, 250)}$: Maximum closing price over the past 250 trading days - If the latest closing price reaches a new high, the distance is 0; otherwise, it is a positive value indicating the fallback percentage[22] 2. Screening Criteria: - Stocks must meet the following conditions: - Analyst attention: At least 5 "Buy" or "Overweight" ratings in the past 6 months - Relative strength: Top 20% in 250-day price change within the sample pool - Price stability: Evaluated using metrics like price path smoothness and 250-day high distance averages over the past 120 days - Trend continuation: Top 50 stocks based on the 5-day average of 250-day high distance[23] - Model Evaluation: The model effectively identifies stocks with strong momentum and stable trends, aligning with established momentum theories[20][22] --- Model Backtesting Results 1. Hong Kong Stock Selection Portfolio - Annualized Return: 19.08% - Excess Return over Hang Seng Index: 18.06% - Maximum Drawdown: 23.73% - Information Ratio (IR): 1.19 - Tracking Error: 14.60% - Return-to-Drawdown Ratio: 0.76[19] 2. Stable New High Stock Screening - Sector Distribution: - Cyclical: 13 stocks - Technology: 10 stocks - Financials: 5 stocks - Manufacturing: 4 stocks - Consumer: 4 stocks[22][23] - Example Stocks: - China Eastern Airlines: 250-day high distance: 6.6%, 250-day return: 116.6% - Baidu Group-SW: 250-day high distance: 0.4%, 250-day return: 87.4% - China Gold International: 250-day high distance: 0.0%, 250-day return: 304.4%[28] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day High Distance - Factor Construction Idea: Measures the relative distance of the latest closing price from the 250-day high to capture momentum and trend-following signals[22] - Factor Construction Process: - Formula: $ 250 \text{ Day High Distance} = 1 - \frac{\text{Close}{t}}{\text{ts_max(Close, 250)}} $ - $\text{Close}{t}$: Latest closing price - $\text{ts_max(Close, 250)}$: Maximum closing price over the past 250 trading days - Interpretation: - A value of 0 indicates the stock is at its 250-day high - Positive values indicate the percentage fallback from the high[22] - Factor Evaluation: The factor effectively captures momentum and is supported by academic research and practical applications in trend-following strategies[20][22] --- Factor Backtesting Results 1. 250-Day High Distance Factor - Example Stocks: - China Eastern Airlines: 250-day high distance: 6.6%, 250-day return: 116.6% - Baidu Group-SW: 250-day high distance: 0.4%, 250-day return: 87.4% - China Gold International: 250-day high distance: 0.0%, 250-day return: 304.4%[28]