基于动态宏观事件因子的中证港股通大消费指数择时策略 为了探索中国宏观经济对香港大消费主题上市公司整体状况和走势的影响，我们选取中证港股通大消费主题指数作为 研究对象，尝试从动态宏观事件因子的角度构建择时策略框架。我们用经济、通胀、货币和信用四维度的 20 余个宏 观数据指标，基于数据样本内时间段的收益率胜率指标和开仓波动调整收益率指标数值，筛选出这些宏观数据每期最 优的事件因子和最优的数据处理方式，并且从中挑选出了 5 个对中证港股通大消费主题指数择时效果较好的宏观因 子。 在选定了最终使用的宏观指标之后，我们使用这些宏观数据构建的宏观事件因子来搭建择时策略：当大于 2/3 的因子 发出看多信号，则当期该大类因子的信号标记为 1；当少于 1/3 的因子发出看多信号时，则当期大类因子信号标记为 0；若当因子发出看多信号的比例处于两个区间之后，则大类因子标记为对应具体的比例。将每期大类因子的得分作 为当期的择时仓位信号。 建议关注标的介绍：泰康中证港股通大消费 A（006786.OF） 目前跟踪中证港股通大消费主题指数的基金为泰康中证港股通大消费主题基金，是择时策略可投资的标的，该基金成 立于 2019 年 5 ...

Core Viewpoint - The China Securities Index for Hong Kong Stock Connect Consumer Theme has shown a mixed performance, with a recent increase but a decline over the past month, indicating volatility in the consumer sector [1][2]. Group 1: Index Performance - The China Securities Index for Hong Kong Stock Connect Consumer Theme rose by 0.58% to 3094.05 points, with a trading volume of 51.969 billion [1]. - Over the past month, the index has decreased by 6.35%, while it has increased by 9.12% over the last three months and 17.94% year-to-date [1]. Group 2: Index Composition - The index comprises up to 50 eligible Hong Kong-listed companies that align with the consumer theme, reflecting the overall performance of these companies [1]. - The top ten weighted companies in the index include Alibaba-W (13.98%), Meituan-W (12.71%), BYD Company (9.52%), and others, with a total weight of 70.3% for the top three [1]. Group 3: Sector Allocation - The index's holdings are primarily in the consumer discretionary sector, which accounts for 72.68%, followed by healthcare at 17.54% and consumer staples at 9.78% [2]. - The index is adjusted semi-annually, with changes implemented on the next trading day after the second Friday of June and December [2]. Group 4: Fund Tracking - Public funds tracking the index include Taikang China Securities Hong Kong Stock Connect Consumer Theme A and C [3].