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——金融工程市场跟踪周报20260111：春季躁动仍可期-20260111

EBSCN· 2026-01-11 04:48

2026 年 1 月 11 日总量研究春季躁动仍可期 ——金融工程市场跟踪周报 20260111 要点本周市场核心观点与市场复盘：本周（2026.01.05-2026.01.09，下同）A 股"开门红"，主要宽基指数均实现大幅上涨。市场情绪方面，主要宽基指数量能指标有所提振，量能择时模型纷纷发出看多信号；主要宽基指数及宽基指数 ETF 期权持仓量 PCR、成交量 PCR 震荡回落，市场风险偏好进一步提升。资金面方面，融资增加额环比大幅提升，资金面表现持续乐观；股票型 ETF 的资金流入方向有所分化，中小盘 ETF 资金净流入积极。风险偏好提振背景下，市场有望实现进一步上行，春季躁动行情仍可期。中长线持续看好"红利+科技"配置主线。本周上证综指上涨 3.82%，上证 50 上涨 3.40%，沪深 300 上涨 2.79%，中证 500 上涨 7.92%，中证 1000 上涨 7.03%，创业板指上涨 3.89%，北证 50 指数上涨 5.82%。截至 2026 年 1 月 9 日，宽基指数来看，上证指数、上证 50、沪深 300 指数处于估值分位数"危险"等级，中证 500、中证 ...

港股投资周报：物科技领涨，港股精选组合本周相对恒指超额4.12%-20260110

Guoxin Securities· 2026-01-10 08:27

Quantitative Models and Construction Methods 1. Model Name: Hong Kong Stock Selection Portfolio - **Model Construction Idea**: The model aims to select stocks with both fundamental support and technical resonance from an analyst-recommended stock pool[14][15] - **Model Construction Process**: - **Step 1**: Construct an analyst-recommended stock pool based on three types of analyst recommendation events: upward earnings forecast revisions, initial analyst coverage, and analyst report titles exceeding expectations[15] - **Step 2**: Perform dual-layer selection on the analyst-recommended stock pool using fundamental and technical dimensions to select stocks with both fundamental support and technical resonance[15] - **Step 3**: The backtest period for the Hong Kong Stock Selection Portfolio is from January 1, 2010, to December 31, 2025. Considering transaction costs in a fully invested state, the portfolio's annualized return is 19.08%, with an excess return of 18.06% relative to the Hang Seng Index[15] - **Model Evaluation**: The model demonstrates a strong performance with significant excess returns over the Hang Seng Index, indicating its effectiveness in stock selection[15] Model Backtest Results - **Hong Kong Stock Selection Portfolio**: - **Annualized Return**: 19.08%[15] - **Excess Return**: 18.06% relative to the Hang Seng Index[15] - **Information Ratio (IR)**: 1.19[20] - **Tracking Error**: 14.60%[20] - **Maximum Drawdown**: 23.73%[20] - **Return-to-Drawdown Ratio**: 0.76[20] Quantitative Factors and Construction Methods 1. Factor Name: Stable New High Stocks - **Factor Construction Idea**: The factor aims to identify stocks that have recently reached new highs and exhibit stable price paths, leveraging the momentum and trend-following strategies that are particularly effective in the Hong Kong market[21] - **Factor Construction Process**: - **Step 1**: Calculate the 250-day new high distance using the formula: $$ 250 \text{ day new high distance} = 1 - \frac{Close_t}{\text{ts\_max(Close, 250)}} $$ where $Close_t$ is the latest closing price, and $\text{ts\_max(Close, 250)}$ is the maximum closing price over the past 250 trading days[23] - **Step 2**: Screen stocks that have reached a 250-day new high in the past 20 trading days based on analyst attention, relative stock strength, price path stability, and new high continuity[23] - **Step 3**: Select stocks with the following criteria: - Analyst attention: At least 5 buy or hold ratings in the past 6 months - Relative stock strength: Top 20% in terms of price change over the past 250 days - Price path stability: Top 50% based on price displacement ratio and 250-day new high distance over the past 120 days - Trend continuity: Top 50 stocks based on the 250-day new high distance over the past 5 days[24] - **Factor Evaluation**: The factor effectively captures stocks with strong momentum and stable price paths, which are likely to continue their upward trends[21][23] Factor Backtest Results - **Stable New High Stocks**: - **Example Stocks**: J&T Express-W, China Eastern Airlines, Youran Dairy, Hansoh Pharmaceutical, China XLX Fertilizer, etc.[23][29] - **Sector Distribution**: Most new high stocks are in the cyclical sector, followed by finance, technology, consumer, manufacturing, and healthcare sectors[23][29]