金融工程丨深度报告 [Table_Title] 宏观视角下的港股择时模型 %% %% %% %% research.95579.com 1 丨证券研究报告丨 报告要点 [Table_Summary] 本文以宏观预期指标为主，辅以其他常见宏观指标和港股市场特异性指标，将连续变量改造成 二元变量，并进行 Logit 回归检验，综合考虑了流动性、宏观经济、通胀和市场情绪，选择了花 旗中国经济意外指数、USDHKD 预期修正、CPI 预期修正和恒生指数期权认沽认购比这四个指 标的重构变量，训练了一个对恒生指数 R 未来一个月涨跌进行预测的择时模型，模型样本外 AUC 约 0.70，2015 年初至 2026 年 1 月底择时年化超额约 10.74%，月度胜率约 81.95%，年 度胜率约 81.82%。 分析师及联系人 [Table_Author] 冷旭晟 刘胜利 SAC：S0490524080001 SAC：S0490517070006 SFC：BWH883 请阅读最后评级说明和重要声明 2 / 23 %% %% %% %% research.95579.com 2 宏观量化择时（二） cjzqdt11111 [T ...

Core Insights - The market can remain irrational longer than one can maintain solvency, indicating a shift in market timing recognition by the company as of 2024 [2] - The company's fund management scale doubled, and third-party platform data improved the team's roadshow effectiveness [2] - Investors are increasingly concerned about market sentiment rather than raw data, especially when entrusting funds to quantitative private equity [2] Group 1: Company Strategy and Development - The company, led by He Rongtian, has pioneered various financial strategies, including ETF arbitrage and ABS pricing, establishing itself as a leader in fixed income research [3][4] - The concept of market timing proposed by the company faced initial resistance, as many in the industry adhered to the efficient market hypothesis, believing that market prices reflect all available information [3][4] - The company emphasizes a dual-track timing system, focusing on market cost-effectiveness rather than merely predicting price movements [8] Group 2: Market Dynamics and Quantitative Strategies - The characteristics of the A-share market, such as high volatility and multiple hotspots, create a favorable environment for timing strategies [9] - The company’s macro-quantitative timing model successfully predicted market risks, allowing it to avoid significant losses during downturns [9][10] - The company has developed a systematic approach to style timing, adjusting portfolio allocations based on relative returns rather than individual stock predictions [10][12] Group 3: Industry Trends and Future Outlook - The company has witnessed a significant evolution in the quantitative investment landscape, transitioning from marginalization to mainstream acceptance over the past decade [21][22] - The integration of causal modeling and AI with quantitative strategies is seen as the next frontier for the industry [21][22] - The company aims to maintain a balance between growth and performance stability, emphasizing the importance of a steady approach to expansion [16]