Market Overview - The Hang Seng Index closed up 0.17% at 25,165.94 points, while the Hang Seng Tech Index fell 0.01% to 5,541.27 points, and the National Enterprises Index rose 0.08% to 9,013.27 points [1] - The index opened lower at 24,968.57 points, dropped initially, but rebounded in the afternoon to surpass 25,000 points, ultimately gaining 43.04 points with a total turnover exceeding 285.2 billion HKD [1] - There were 934 stocks that rose, 1,267 that fell, and 961 that remained unchanged by the end of the trading day [1] Sector Performance - The market showed mixed performance across sectors, with solar energy, Apple-related stocks, and new consumption concepts generally rising, while sectors like chips, gold, banking, and insurance experienced mixed results [1] - Coal, technology, and biomedicine sectors mostly saw declines [1] Notable Stocks - Individual stock movements included: - Dongfang Zhenxuan up 8.22% - Alibaba down 0.68% - Fuyao Glass up 15.19% - Xinte Energy up 2.30% - BeiGene down 3.05% - WuXi AppTec up 0.30% - Sunny Optical Technology up 9.74% - Heng Rui Pharmaceutical down 0.57% - Laopu Gold up 8.84% - SMIC up 3.40% - Shandong Gold up 0.98% - Xiaopeng Motors up 4.41% - Bank of China up 0.91% - China Reinsurance up 3.57% [1] Top Traded Stocks - The top three traded stocks were: - Pop Mart up 12.54% with a turnover exceeding 11.5 billion HKD - Tencent Holdings down 0.34% with a turnover exceeding 9.4 billion HKD - Xiaomi Group up 0.29% with a turnover exceeding 8.2 billion HKD [2]

Quantitative Models and Construction Methods - **Model Name**: Guosen Securities 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 stocks with both fundamental support and technical resonance[15][17] **Model Construction Process**: 1. **Analyst Recommendation Pool**: Constructed using analyst events such as upward earnings revisions, first-time coverage, and research report titles exceeding expectations[17] 2. **Selection Criteria**: - Fundamental Dimension: Stocks with strong fundamental support - Technical Dimension: Stocks showing technical resonance 3. **Backtesting Period**: From January 1, 2010, to June 30, 2025, with full exposure and transaction costs considered[17] **Formula**: Not explicitly provided in the report **Model Evaluation**: Demonstrates strong annualized returns and significant excess returns relative to the Hang Seng Index[17] - **Model Name**: Stable New High Stock Screening **Model Construction Idea**: Inspired by momentum and trend-following strategies, focusing on stocks that recently hit 250-day highs with stable price paths[22][24] **Model Construction Process**: 1. **250-Day New High Distance Calculation**: $ 250\ Day\ New\ High\ Distance = 1 - \frac{Close_{latest}}{ts\_max(Close, 250)} $ - **Close_latest**: Latest closing price - **ts_max(Close, 250)**: Maximum closing price in the past 250 trading days[24] 2. **Screening Criteria**: - Analyst Attention: At least 5 buy or overweight ratings in the past 6 months - Relative Strength: Top 20% in 250-day returns within the sample pool - Price Stability: Comprehensive scoring based on price path smoothness and trend continuation metrics[25] **Model Evaluation**: Effective in identifying stocks with stable upward trends, particularly in sectors like healthcare and finance[24][25] --- Model Backtesting Results - **Guosen Securities Hong Kong Stock Selection Portfolio**: - **Annualized Return**: 19.11% - **Excess Return Relative to Hang Seng Index**: 18.48% - **Information Ratio (IR)**: 1.22 - **Tracking Error**: 14.55% - **Maximum Drawdown**: 23.73%[21][17][19] - **Stable New High Stock Screening**: - **Sector Distribution**: - Healthcare: 15 stocks - Finance: 15 stocks - Technology: 7 stocks - Cyclical: 5 stocks - Consumer: 4 stocks[24][25] --- Quantitative Factors and Construction Methods - **Factor Name**: 250-Day New High Distance **Factor Construction Idea**: Measures the proximity of the latest closing price to the 250-day high, indicating momentum strength[24] **Factor Construction Process**: $ 250\ Day\ New\ High\ Distance = 1 - \frac{Close_{latest}}{ts\_max(Close, 250)} $ - **Close_latest**: Latest closing price - **ts_max(Close, 250)**: Maximum closing price in the past 250 trading days[24] **Factor Evaluation**: Demonstrates strong predictive power for identifying stocks with upward momentum[24] --- Factor Backtesting Results - **250-Day New High Distance**: - **Sector Distribution**: - Healthcare: 15 stocks - Finance: 15 stocks - Technology: 7 stocks - Cyclical: 5 stocks - Consumer: 4 stocks[24][25]