国泰海通｜金工：港股通量化选股策略初探

Core Insights - The article discusses various quantitative stock selection strategies in the Hong Kong stock market, highlighting their performance and characteristics [1][2]. Value Strategy - The value strategy shows superior performance in the Hong Kong stock market, with an annualized return of 11.7% during the sample period (2015.01.01-2025.08.26), outperforming the Hong Kong Stock Connect Index by 9.5% [1]. - This strategy is based on three factors: cash flow ratio, dividend yield, and buyback ratio, using equal-weight scoring [1]. Moat Strategy - The moat strategy has no significant style exposure, with a market beta close to 1, indicating it closely follows the Hong Kong Stock Connect Index [1]. - The annualized return since 2015 is 12.6%, exceeding the index by 10.5%, based on factors like network effects, intangible assets, cost advantages, and switching costs [1]. Growth Strategy - The growth strategy exhibits high beta characteristics, with significant exposure to growth, momentum, and high valuation [1]. - The annualized return for this strategy is 22.2%, outperforming the index by 20.0%, using five factors: growth, R&D investment, profitability, earnings quality, and relative strength of stock price [1]. Balanced Strategy - The balanced strategy shows positive exposure across various styles, achieving the highest information ratio among the four strategies [2]. - The annualized return for this strategy is 25.1%, outperforming the Hong Kong Stock Connect Index by 23.0%, based on five classic factors: market capitalization, value, growth, quality, and momentum [2].