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金融工程定期:港股量化:7月组合超额6.8%,8月增配价值
KAIYUAN SECURITIES· 2025-08-02 11:30
2025 年 08 月 02 日 金融工程研究团队 魏建榕(首席分析师) 证书编号:S0790519120001 张 翔(分析师) 证书编号:S0790520110001 傅开波(分析师) 证书编号:S0790520090003 高 鹏(分析师) 证书编号:S0790520090002 苏俊豪(分析师) 证书编号:S0790522020001 胡亮勇(分析师) 证书编号:S0790522030001 王志豪(分析师) 证书编号:S0790522070003 盛少成(分析师) 证书编号:S0790523060003 苏 良(分析师) 证书编号:S0790523060004 何申昊(分析师) 证书编号:S0790524070009 蒋 韬(分析师) 证书编号:S0790525070001 相关研究报告 《开源量化评论(49)-对近期北向持 续撤离,南下持续抄底的几点思考》 -2022.3.15 开源量化评论(50)-港股优选:技术 面、资金面、基本面》-2022.3.22 《开源量化评论(96)-公募港股投资 变化及港股通优选组合构建》 -2024.7.15 港股量化:7 月组合超额 6.8%,8 月增配价值 — ...
金融工程定期:港股量化:南下资金累计流入达2024年91%,7月增配成长
KAIYUAN SECURITIES· 2025-07-02 12:15
- Model Name: Hong Kong Stock Selection 20 Portfolio; Model Construction Idea: The model selects the top 20 stocks with the highest scores based on four types of factors (technical, capital, fundamental, and analyst expectations) from the Hong Kong Stock Connect sample stocks and constructs an equal-weighted portfolio at the end of each month; Model Construction Process: The model uses the Hong Kong Composite Index (HKD) (930930.CSI) as the benchmark. The specific construction process involves selecting the top 20 stocks with the highest scores based on the four types of factors and constructing an equal-weighted portfolio at the end of each month[3][37][39]; Model Evaluation: The model has shown excellent performance in the Hong Kong Stock Connect sample stocks[37] - Factor Name: Technical Factors; Factor Construction Idea: Technical factors are constructed based on the price and volume data of stocks; Factor Construction Process: The specific construction process involves calculating various technical indicators such as moving averages, relative strength index (RSI), and moving average convergence divergence (MACD) to evaluate the stock's price trend and momentum[37][38]; Factor Evaluation: Technical factors have shown good performance in the Hong Kong Stock Connect sample stocks[37] - Factor Name: Capital Factors; Factor Construction Idea: Capital factors are constructed based on the capital flow data of stocks; Factor Construction Process: The specific construction process involves calculating the net capital inflow and outflow of stocks to evaluate the stock's capital flow trend[37][38]; Factor Evaluation: Capital factors have shown good performance in the Hong Kong Stock Connect sample stocks[37] - Factor Name: Fundamental Factors; Factor Construction Idea: Fundamental factors are constructed based on the financial data of stocks; Factor Construction Process: The specific construction process involves calculating various financial ratios such as price-to-earnings (P/E) ratio, return on equity (ROE), and total market value to evaluate the stock's financial health and valuation[37][38]; Factor Evaluation: Fundamental factors have shown good performance in the Hong Kong Stock Connect sample stocks[37] - Factor Name: Analyst Expectation Factors; Factor Construction Idea: Analyst expectation factors are constructed based on the analyst ratings and target prices of stocks; Factor Construction Process: The specific construction process involves collecting and analyzing the analyst ratings and target prices of stocks to evaluate the stock's future performance expectations[37][38]; Factor Evaluation: Analyst expectation factors have shown good performance in the Hong Kong Stock Connect sample stocks[37] Model Backtest Results - Hong Kong Stock Selection 20 Portfolio, Annualized Excess Return: 13.3%, Excess Return Volatility Ratio: 1.0[4][40][41] Factor Backtest Results - Southbound Capital, Average Return: 25.7%[32][36] - Foreign Capital, Average Return: 13.5%[32][36] - Domestic Capital, Average Return: 14.0%[32][36] - Hong Kong Capital and Others, Average Return: 10.2%[32][36]
金融工程定期:港股量化:2025年以来南下累计净流入超6000亿港元,5月增配成长
KAIYUAN SECURITIES· 2025-05-07 07:44
金融工程研究团队 魏建榕(首席分析师) 证书编号:S0790519120001 张 翔(分析师) 证书编号:S0790520110001 傅开波(分析师) 证书编号:S0790520090003 2025 年 05 月 07 日 高 鹏(分析师) 证书编号:S0790520090002 苏俊豪(分析师) 证书编号:S0790522020001 胡亮勇(分析师) 证书编号:S0790522030001 王志豪(分析师) 证书编号:S0790522070003 盛少成(分析师) 证书编号:S0790523060003 苏 良(分析师) 证书编号:S0790523060004 何申昊(分析师) 证书编号:S0790524070009 陈 威(研究员) 证书编号:S0790123070027 蒋 韬(研究员) 证书编号:S0790123070037 《开源量化评论(49)-对近期北向持 续撤离,南下持续抄底的几点思考》 -2022.3.15 开源量化评论(50)-港股优选:技术 面、资金面、基本面》-2022.3.22 《开源量化评论(96)-公募港股投资 变化及港股通优选组合构建》 -2024.7.15 港股量化: ...