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].

Group 1 - The report highlights the increasing number of stocks eligible for the Hong Kong Stock Connect, with the market capitalization of these stocks covering approximately 90% of the main board's total market value despite only accounting for about 25% of the total stock count [8][14]. - The average daily trading volume of stocks in the Hong Kong Stock Connect has been steadily rising, indicating growing interest from public funds [8][10]. - The report provides a detailed analysis of the market capitalization distribution of stocks within the Hong Kong Stock Connect, emphasizing that these stocks generally have larger market capitalizations [14][18]. Group 2 - The value strategy focuses on identifying undervalued assets in the market, utilizing factors such as Price-to-Book (PB), Price-to-Earnings (PE), and cash flow ratios to select stocks [21][23]. - The report outlines the construction steps for the value strategy, including an initial screening of stocks with a market cap greater than 5 billion and an average daily trading volume exceeding 50 million [27][28]. - The performance of the top 30 stocks selected through the value strategy has shown significant annualized excess returns compared to the Hong Kong Stock Connect index [25][31]. Group 3 - The "moat" strategy, inspired by Warren Buffett, emphasizes investing in companies with strong competitive advantages that can protect their profitability [34][36]. - Key indicators for assessing a company's moat include market share, intangible assets, cost advantages, and customer switching costs [34][36]. - The report details the selection process for stocks with strong moats, focusing on companies with a market cap over 5 billion and a daily trading volume above 1 million [36][39]. Group 4 - The growth strategy targets companies with rapid revenue and profit growth, aiming to capitalize on their future growth potential [42][43]. - The selection criteria for the growth strategy include a market cap greater than 5 billion and a daily trading volume exceeding 1 million, while also considering factors like net profit growth and R&D investment [42][43]. - The report indicates that the growth strategy has consistently outperformed the Hong Kong Stock Connect index in terms of cumulative returns [46][47]. Group 5 - The report summarizes various investment strategies, including value, moat, growth, and balanced strategies, each with distinct selection factors and investment philosophies [53]. - The balanced strategy aims to evenly allocate investments across market cap, value, growth, quality, and momentum factors [53]. - The performance metrics for each strategy indicate varying degrees of success in generating excess returns compared to the Hong Kong Stock Connect index [52][53].