证券研究报告 港股择时宏观框架与量化策略 ——跨境投资洞察系列报告之三 证券分析师 郭子睿 投资咨询资格编号：S1060520070003 任书康 投资咨询资格编号：S1060525050001 陈 瑶 投资咨询资格编号：S1060524120003 研究助理 2025年10月9日 高 越 一般从业资格编号：S1060124070014 请务必阅读正文后免责条款 主要观点 风险提示：1）历史数据梳理不构成投资建议；2）量化规律失效风险；3）策略回测风险；4）宏观环境剧烈变动风险。 1 港股市场概述。恒生综合指数、恒生指数等代表性指数聚焦于大市值公司，恒生综合指数平均市值略高于中证800，恒生指数平均市值介 于沪深300和上证50之间。A股、港股相对表现存在显著周期性波动，长期来看港股风险、收益水平整体低于A股，中证800下跌行情中恒 生指数具有一定抗跌属性，但部分上涨行情中港股也具有更好的进攻属性。AH股溢价受到美元指数周期的影响，美元指数下行有利于港 股市场上涨，促进AH股溢价回落。两地市场定价环境的差异是A股、港股相对表现的主导因素，对宏观环境的敏感性差异可能是重要原因。 港股宏观驱动因素。 1）海外宏观 ...

Group 1: Macro Analysis - The narrative that the dollar will enter a prolonged decline akin to the 70s and 80s needs reassessment, as the fastest decline of the dollar may have already passed[13] - The U.S. economy's growth rate relative to Europe and Japan remains superior, suggesting potential dollar strength in the medium term[13] - The dollar index has shown a long-term divergence from the U.S. economic share, with the index rising despite a declining economic share post-2008 financial crisis[15] Group 2: Fixed Income Market Insights - In July, the bond market is expected to face downward pressure, with credit outperforming rates[29] - Government bond net financing is projected to increase to between 1.5 trillion and 1.7 trillion yuan in July due to accelerated local government bond issuance[27] - The average decline in the 10-year government bond yield from 2021 to 2024 is approximately 4.4 basis points, indicating a trend of decreasing yields[29] Group 3: Equity Market Trends - The total position of stock funds increased to 94.90%, up by 97 basis points from the previous week, indicating a bullish sentiment[36] - The average return of stock funds this week was 1.31%, reflecting positive market performance[38] - The Hang Seng Index saw a decline of 1.52%, suggesting a mixed outlook for Hong Kong equities[39] Group 4: CIPS Regulatory Changes - The People's Bank of China is revising CIPS rules to enhance participant management and flexibility, allowing for easier access to the system[43] - The CIPS system processed 821.69 million transactions worth 175.49 trillion yuan in 2024, marking a 42.60% increase year-on-year[42] - The new rules include risk management requirements and clarify the roles of domestic and foreign participants in the CIPS framework[43]