中金研究 摘要 点击小程序查看报告原文 港股风格的轮动特点及影响因素 作 为港股市场内讨论度较高的两个细分风格，港股科技与红利风格长期收益负向相关，存在明显轮动现象，短期优势月频轮动，长期优势平均延续超半 年。 我们以指数来表征对应风格的收益表现，分别统计了恒生系以及中证系港股通科技与红利指数的超额收益表现，发现：1）恒生系与中证系港股通的 超额收益从2020年年中开始维持强正相关且趋于稳定；2）港股的红利与科技风格超额收益从2020年年中至今呈现强负相关，适合构建风格轮动策略；3） 科技与红利风格的轮动速度适中，短期优势月频轮动，长期优势平均延续超半年。 验证了港股风格存在一定轮动现象后，我们从五个维度找寻风格轮动背后的影响因素，分别是宏观经济类、资金类、市场类、基本面类和估值类指标。 由于港股风格短期优势呈现月频轮动，且大部分宏观指标均为月度更新，因此我们将所有的指标均统一为月度频率。 岭逻辑回归下的多因子风格轮动模型框架 本文从论证港股的风格轮动效应入手，构建了基于五大类信息的多因子模型，在中证港股通科技与红利指数上月度轮动，使用岭逻辑回归模型以及简 单二分类捕捉风格切换，取得19.50%的年化收益以及 ...

Group 1: Southbound Capital - Southbound capital has significantly flowed into the Hong Kong stock market in 2025, with a cumulative net purchase of 979 billion HKD from January to August, surpassing the total of 807.9 billion HKD for the entire year of 2024 [2][24]. - Despite the increasing transaction share of southbound capital, its net purchases have shown little predictive power for the future movements of the Hang Seng Index, with a negative correlation observed between daily net purchases and index fluctuations [2][24]. - The top 10% of stocks by net purchase amount from southbound capital yielded an annualized return of 12.08%, significantly higher than the average of 2.61% and the bottom 10% group which saw a return of -2.94% [3][29]. Group 2: Industry Rotation - The analysis of industry rotation indicates that the southbound net purchase amount has a poor monotonicity across industries, but after adjusting for transaction amounts, the excess returns for bullish positions significantly improve, with the top three industries showing an annualized return of 11.64% [4][32]. - The retail sector, particularly represented by Alibaba, has been the most favored by southbound capital, with a net purchase scale significantly outperforming other sectors [4][32]. - The report highlights the effectiveness of style factors in guiding industry allocation, with growth and long-term momentum factors showing particularly strong performance in the Hong Kong market [6][65]. Group 3: IPO Trends - The Hong Kong stock market has experienced a surge in IPO activity in 2025, with 43 companies listed by June 30, raising a total of 106.71 billion HKD, which is significantly higher than the 88.15 billion HKD raised in 2024 [7][38]. - Notable IPOs include Heng Rui Pharmaceutical and Ningde Times, which raised 11.3 billion HKD and 41 billion HKD respectively, indicating a strong market interest and improved liquidity [7][38]. - The new IPO regulations implemented in August 2025 aim to enhance the attractiveness of the Hong Kong market by reducing public shareholding requirements and shortening the listing review process [7][38]. Group 4: Real Estate Market - The Hong Kong real estate market is showing signs of stabilization following the government's removal of property control measures, which has significantly reduced transaction costs for residential properties [11][12]. - High-frequency data indicates a rebound in private residential price indices since March 2025, suggesting a recovery in market sentiment and price stabilization [12][11]. - The low-interest environment and financial wealth effects are contributing to the improved outlook for the real estate sector, with transaction volumes increasing significantly [11][12].

Group 1 - The Hong Kong stock market exhibits significant and prolonged style switching, with value and growth styles frequently alternating. Growth style shows explosive potential but lacks sustainability, while value style offers more stability in adverse conditions. Large-cap stocks have higher cumulative returns across multiple cycles and better ability to traverse cycles [3][14][15] - The driving factors for style rotation include changes in liquidity, valuation recovery, and policy guidance, with southbound capital inflows, interest rate cycles, industry regulation, and macro expectations shaping dominant styles in different phases [3][15][16] - The empirical performance of the risk parity model in multi-style strategy combinations shows robust excess return capabilities and risk control advantages, achieving an annualized return of 19.77% from March 2, 2015, to April 30, 2025, with an information ratio of 1.72 [3][15][16] Group 2 - The report highlights the structural differences in industry allocation among different style indices, with large-cap indices concentrated in stable sectors like finance, consumption, and utilities, while small-cap and growth indices focus more on technology, healthcare, and manufacturing, exhibiting higher volatility but stronger elasticity [3][17] - The value strategy, based on the PB-ROE model, aims to identify undervalued stocks with a focus on fundamental and valuation mismatches, achieving an annualized return of 13.91% while maintaining a 20% exposure to the financial sector to enhance value attributes [3][23][41] - The growth strategy targets high growth rates in revenue and net profit, achieving an annualized return of 22.66%, with a recent tilt towards core assets in healthcare and technology [3][23][41] Group 3 - The quality strategy focuses on companies with stable profitability, healthy cash flow, and optimized capital structure, yielding an annualized return of 11.48%, although recent market style shifts have narrowed excess returns [3][23][41] - The report emphasizes the importance of identifying and capturing style switching points to significantly enhance portfolio returns, suggesting that effective allocation among different style strategies can provide smoother navigation through various market environments [3][9][14] - The analysis of the past decade reveals that the Hong Kong stock market has experienced notable style shifts, with the performance of value and growth styles continuously alternating [3][9][14]