南向资金

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南向资金今日创纪录净流入近359亿港元 盈富基金获净买入居前
Mei Ri Jing Ji Xin Wen· 2025-08-15 09:52
每经AI快讯,南向资金今日净买入约358.76亿港元。盈富基金、恒生中国企业、南方恒生科技分别获净 买入约127.88亿港元、53.56亿港元及21.77亿港元。注:南向资金今日刷新历史最高单日净买入纪录, 此前最高净买额为2025年4月9日的355.86亿港元。 ...
截至目前,南向资金净买入额达130亿港元
Mei Ri Jing Ji Xin Wen· 2025-08-15 07:24
每经AI快讯,8月15日,截至目前,南向资金净买入额达130亿港元。 (文章来源:每日经济新闻) ...
南向资金净买入额超160亿港元
Zheng Quan Shi Bao Wang· 2025-08-15 06:48
(原标题:南向资金净买入额超160亿港元) 人民财讯8月15日电,截至发稿,南向资金净买入额超160亿港元。 ...
南向资金净买入额达130亿港元
Zheng Quan Shi Bao Wang· 2025-08-15 06:14
人民财讯8月15日电,截至发稿,南向资金净买入额达130亿港元。 (原标题:南向资金净买入额达130亿港元) ...
南向资金今日净买入10.34亿港元,中国人寿净买入13.53亿港元
Zheng Quan Shi Bao Wang· 2025-08-14 13:35
成交活跃股方面,今日上榜个股中,南向资金成交金额最多的是腾讯控股,合计成交额101.91亿港元, 阿里巴巴-W、中芯国际成交额紧随其后,分别成交58.12亿港元、57.88亿港元。以净买卖金额统计,净 买入的个股共有9只,中国人寿净买入额为13.53亿港元,净买入金额居首,该股收盘股价上涨3.60%, 阿里巴巴-W净买入额为4.55亿港元,理想汽车-W净买入额为3.52亿港元。净卖出金额最多的是腾讯控 股,净卖出11.97亿港元,该股收盘股价上涨0.68%,美团-W、晶泰控股遭净卖出3.86亿港元、2.55亿港 元。 8月14日恒生指数下跌0.37%,南向资金全天合计成交金额为1475.43亿港元,其中,买入成交742.89亿 港元,卖出成交732.55亿港元,合计净买入金额10.34亿港元。具体来看,港股通(深)累计成交金额 548.31亿港元,买入成交271.10亿港元,卖出成交277.21亿港元,合计净卖出金额6.11亿港元;港股通 (沪)累计成交金额927.12亿港元,买入成交471.79亿港元,卖出成交455.34亿港元,合计净买入金额 16.45亿港元。 今日上榜个股中,阿里巴巴-W、中芯国际、小 ...
港股量化系列研究之一:南向资金在港股行业轮动中的应用
Xiangcai Securities· 2025-08-14 10:36
Quantitative Models and Construction Methods 1. Model Name: Southbound Capital Monthly Net Purchase Model - **Model Construction Idea**: This model uses the monthly net purchase amount of Southbound Capital to evaluate its effectiveness in driving sector rotation in the Hong Kong stock market[12][40]. - **Model Construction Process**: - The net purchase amount for each stock is calculated as: $$ S_{i,t} = (N_{i,t} - N_{i,t-1}) * P_{i,t} $$ Where: \( N_{i,t} \) = Southbound Capital holdings of stock \( i \) on day \( t \)[37] \( P_{i,t} \) = Average price of stock \( i \) on day \( t \)[37] - The sector-level net purchase amount is aggregated as: $$ Ind_{t} = \sum S_{i,t} $$ Where \( Ind_{t} \) represents the cumulative net purchase amount for the sector on day \( t \)[37]. - **Model Evaluation**: The model demonstrates a positive Rank IC mean, indicating its effectiveness in sector rotation strategies[40]. 2. Model Name: Market Cap-Adjusted Southbound Capital Model - **Model Construction Idea**: Adjust the Southbound Capital net purchase amount by sector market capitalization to improve strategy performance[40]. - **Model Construction Process**: - The net purchase amount is calculated as in the previous model. - Adjustments are made based on the market capitalization of each sector to normalize the influence of large-cap sectors[40]. - **Model Evaluation**: This adjustment improves strategy returns and reduces maximum drawdown compared to the unadjusted model[46][48]. 3. Model Name: Three-Year Percentile Southbound Capital Model - **Model Construction Idea**: Use the three-year percentile rank of Southbound Capital net purchases to identify sector preferences over a longer historical period[40]. - **Model Construction Process**: - Calculate the three-year percentile rank of the net purchase amount for each sector. - Rank sectors based on their percentile values to determine rotation preferences[40]. - **Model Evaluation**: The three-year percentile model provides a longer-term perspective but shows slightly lower Rank IC values compared to the unadjusted model[40]. 4. Model Name: Market Cap-Adjusted Three-Year Percentile Model - **Model Construction Idea**: Combine market capitalization adjustments with the three-year percentile rank to enhance strategy robustness[40]. - **Model Construction Process**: - Apply market cap adjustments to the three-year percentile rank of net purchases. - Rank sectors based on the adjusted values to guide rotation decisions[40]. - **Model Evaluation**: This model achieves the best overall performance, with the highest Sharpe ratio and IR among all tested strategies[46][48]. --- Model Backtest Results 1. Southbound Capital Monthly Net Purchase Model - **Annualized Return**: 4.73% - **Excess Return**: 3.22% - **Maximum Drawdown**: 56.01% - **Sharpe Ratio**: 0.3130 - **IR**: 0.3864[52] 2. Market Cap-Adjusted Southbound Capital Model - **Annualized Return**: 5.40% - **Excess Return**: 3.89% - **Maximum Drawdown**: 50.24% - **Sharpe Ratio**: 0.3384 - **IR**: 0.3901[52] 3. Three-Year Percentile Southbound Capital Model - **Annualized Return**: 3.61% - **Excess Return**: -2.05% - **Maximum Drawdown**: 54.33% - **Sharpe Ratio**: 0.2704 - **IR**: 0.1498[52] 4. Market Cap-Adjusted Three-Year Percentile Model - **Annualized Return**: 7.99% - **Excess Return**: 2.33% - **Maximum Drawdown**: 45.84% - **Sharpe Ratio**: 0.4350 - **IR**: 0.4713[52] --- Quantitative Factors and Construction Methods 1. Factor Name: Southbound Capital Monthly Net Purchase - **Factor Construction Idea**: Measure the monthly net purchase amount of Southbound Capital to assess its impact on sector rotation[40]. - **Factor Construction Process**: - Calculate the net purchase amount for each stock and aggregate it at the sector level as described in the model construction process[37]. - **Factor Evaluation**: The factor shows a positive Rank IC mean, indicating its predictive power for sector rotation[40]. 2. Factor Name: Market Cap-Adjusted Southbound Capital - **Factor Construction Idea**: Adjust the net purchase amount by sector market capitalization to reduce bias from large-cap sectors[40]. - **Factor Construction Process**: - Apply market cap adjustments to the net purchase amount as described in the model construction process[40]. - **Factor Evaluation**: The adjustment improves the factor's effectiveness, as evidenced by higher Rank IC values[40]. 3. Factor Name: Three-Year Percentile Southbound Capital - **Factor Construction Idea**: Use the three-year percentile rank of net purchases to capture longer-term sector preferences[40]. - **Factor Construction Process**: - Calculate the three-year percentile rank for each sector's net purchase amount[40]. - **Factor Evaluation**: The factor provides a longer-term perspective but shows slightly lower Rank IC values compared to the unadjusted factor[40]. 4. Factor Name: Market Cap-Adjusted Three-Year Percentile - **Factor Construction Idea**: Combine market cap adjustments with the three-year percentile rank to enhance factor robustness[40]. - **Factor Construction Process**: - Apply market cap adjustments to the three-year percentile rank as described in the model construction process[40]. - **Factor Evaluation**: This factor achieves the best overall performance, with the highest Rank IC values among all tested factors[40]. --- Factor Backtest Results 1. Southbound Capital Monthly Net Purchase Factor - **Rank IC Mean**: 7.72% - **Rank IC t-Value**: 24.31%[41] 2. Market Cap-Adjusted Southbound Capital Factor - **Rank IC Mean**: 5.15% - **Rank IC t-Value**: 15.66%[41] 3. Three-Year Percentile Southbound Capital Factor - **Rank IC Mean**: 4.13% - **Rank IC t-Value**: 12.75%[41] 4. Market Cap-Adjusted Three-Year Percentile Factor - **Rank IC Mean**: 4.55% - **Rank IC t-Value**: 14.82%[41]