2025年上半年港股日均成交额已达2402亿港元，同比增长118%。 港股证券的最小有效报价单位，即将迎来下调，最高下调幅度达到60%。 香港交易所宣布，自8月4日起将分阶段调整证券市场最小价格变动单位，首阶段调整涉及10至50港元区间的股票及相 关产品。 根据新规，10至20港元证券的最低上落价位将从0.02港元下调至0.01港元，20至50港元证券则从0.05港元降至0.02港 元，调整幅度分别达50%和60%。 这是港交所继2023年成立促进股票市场流动性专责小组后，推出的又一重要举措，旨在通过缩小价差提升市场流动性 和交易效率。港交所数据显示，2025年上半年，港股日均成交额已达2402亿港元，较去年同期增长118%。 业内人士认为，此次调整将使订单更易在预期价格内成交，同时让交易价格更贴近股票实际价值，有望进一步增强市 场流动性。同时，让高频交易的冲击成本降低，未来市场或迎来更多量化资金。 不过，也有市场参与者担忧，新规实施后依赖微小价差套利的"爬格仔"投资者，可能因利润空间压缩而被迫离场，从 而不利于市场流动性。 10—50港元证券最低下调六成 根据披露，第一阶段，价格范围位于10港元至20港元、 ...

Quantitative Models and Construction 1. Model Name: Timing System Model - **Model Construction Idea**: This model uses the distance between the short-term moving average (20-day) and the long-term moving average (120-day) of the WIND All A Index to determine the market trend. If the short-term moving average is above the long-term moving average and the absolute distance exceeds 3%, the market is considered to be in an upward trend[2][10][16] - **Model Construction Process**: 1. Calculate the 20-day moving average (short-term) and the 120-day moving average (long-term) of the WIND All A Index 2. Compute the percentage difference between the two moving averages: $ \text{Distance} = \frac{\text{20-day MA} - \text{120-day MA}}{\text{120-day MA}} \times 100\% $ - 20-day MA: Short-term moving average - 120-day MA: Long-term moving average 3. If the distance is greater than 3% and the short-term moving average is above the long-term moving average, the market is in an upward trend[2][10][16] - **Model Evaluation**: The model effectively identifies upward market trends and provides a clear signal for timing decisions[2][10][16] 2. Model Name: Industry Allocation Model - **Model Construction Idea**: This model identifies sectors with potential for outperformance based on medium-term trends and specific themes, such as "distressed reversal" and "high elasticity" sectors[3][11][16] - **Model Construction Process**: 1. Analyze sector performance and valuation metrics 2. Identify sectors with medium-term growth potential, such as distressed reversal sectors (e.g., Hong Kong innovative drugs, Hong Kong securities, and Hang Seng consumption) 3. Highlight high-elasticity sectors like technology, military, AI applications, and solid-state batteries based on the TWO BETA model[3][11][16] - **Model Evaluation**: The model provides actionable insights for sector allocation during upward market trends, focusing on high-growth and high-elasticity sectors[3][11][16] 3. Model Name: Position Management Model - **Model Construction Idea**: This model determines the optimal stock allocation ratio based on valuation levels and short-term market trends[3][11] - **Model Construction Process**: 1. Assess the valuation levels of the WIND All A Index using PE and PB metrics 2. Combine valuation levels with short-term market trends to recommend stock allocation ratios 3. Current recommendation: Allocate 80% of absolute return products to stocks based on the WIND All A Index[3][11] - **Model Evaluation**: The model provides a systematic approach to managing stock positions, balancing valuation levels and market trends[3][11] --- Model Backtesting Results 1. Timing System Model - **Distance between Moving Averages**: 5.21% (greater than the 3% threshold, indicating an upward trend)[2][10][16] 2. Industry Allocation Model - **Recommended Sectors**: - Distressed reversal sectors: Hong Kong innovative drugs, Hong Kong securities, Hang Seng consumption - High-elasticity sectors: Technology, military, AI applications, solid-state batteries[3][11][16] 3. Position Management Model - **Stock Allocation Recommendation**: 80% allocation to stocks based on the WIND All A Index[3][11]

Group 1 - The market is currently experiencing a bullish trend, with the index expected to continue rising, regardless of individual stock performance [5][7] - The strategy of investing in ETFs is highlighted as a way to avoid missing out on market gains, especially during the initial phase of a bull market [1][3] - The index's performance is primarily influenced by institutional investors and foreign capital, rather than retail investors [5][3] Group 2 - The A-share market is characterized by a significant number of stocks underperforming, while the index itself is projected to reach new highs [5][3] - There is a distinction made between index performance and individual stock performance, emphasizing that not all stocks will benefit from the bullish index [5][7] - The commentary suggests that frequent trading by retail investors is being exploited by quantitative trading strategies [3][5]