中国股票策略 增强版MSSBT —— 全面捕捉南向资金带来的Alpha4

Investment Rating - The report does not explicitly state an investment rating for the industry but emphasizes the potential for significant alpha generation through the enhanced MSSBT V2 model. Core Insights - The MSSBT V2 model has been developed to capture greater alpha by incorporating both inclusion and exclusion predictions for stocks in the southbound trading scheme, achieving a hit rate of 93% for exclusion predictions and an average absolute return of 25% through a two-way trading strategy [1][3][23]. - Southbound capital inflows reached a record high of $170 billion in 2025, significantly impacting the Hong Kong market and enhancing the liquidity and investor structure for Hong Kong-listed stocks [1][3]. - Historical data indicates that stocks removed from the southbound trading list experience a substantial decline in trading volume and liquidity, with an average daily trading volume drop of 44% and a 28% reduction in southbound ownership within 30 days post-exclusion [2][27][28]. Summary by Sections MSSBT V2 Model - The MSSBT V2 model enhances alpha generation capabilities by predicting both inclusion and exclusion of stocks, with a backtest showing a 93% hit rate for exclusion predictions and an average performance of 11% for predicted stocks [3][20]. - The model suggests that in the upcoming March 2026 review, 44 stocks are expected to be included and 25 excluded from the southbound trading list, recommending investors to build equal-weight positions based on these predictions [3][11][35]. Impact of Southbound Capital - Southbound capital inflows have been a major driver for the Hang Seng Composite Index, with a record net inflow of $170 billion in 2025, continuing into 2026 [1][3]. - The participation of southbound capital is increasingly important for liquidity supply and the investor holding structure of Hong Kong-listed stocks [1]. Historical Performance of Excluded Stocks - Analysis of 285 stocks excluded from the southbound trading list from 2020 to 2025 shows that these stocks typically experience a 44% decline in average daily trading volume and a 28% decrease in southbound ownership within 30 days after exclusion [2][27][28]. - Over 70% of excluded stocks show significant price declines, averaging an 11% drop in the 30 days prior to exclusion, indicating a clear negative impact on stock performance [16][31].