中国股票策略 -南下纳入：经回测的交易策略-China Equity Strategy-Southbound Inclusion – A Back Tested Trading Strategy

Summary of Morgan Stanley Southbound Inclusion Trading Strategy Conference Call Industry Overview - The conference focuses on the Southbound Stock Connect (SB) trading strategy, which is a significant liquidity source for the Hong Kong equity market, particularly as it relates to mainland Chinese stocks. Key Points and Arguments 1. Launch of MSSBT: Morgan Stanley has launched the Morgan Stanley Southbound Eligibility Trading Strategy (MSSBT), a proprietary model designed to predict stocks for Southbound inclusion and capitalize on their price momentum ahead of the event, conducted semi-annually [1][4][21]. 2. Historical Performance: Stocks included in Southbound Stock Connect have historically shown strong performance, generating average absolute returns of 1.6-3.7% and alpha of 2.4-5.2% relative to the Hang Seng Index in the 15- and 30-day periods leading up to inclusion [2][15][49]. 3. Liquidity Trends: Southbound trading now accounts for over one-third of daily turnover on the Hong Kong Main Board, with SB holdings representing approximately 15% of the free float market capitalization of eligible stocks, indicating a significant increase of over 30% since 2024 [12][19][29][36]. 4. Upcoming Inclusion Forecast: For the September 2025 inclusion, 19 candidates across seven sectors have been identified, with notable companies including CaoCao Inc. (2643.HK) and Duality Biotherapeutics (9606.HK) [6][8][14]. 5. Back-Testing Results: The MSSBT model has achieved an average hit ratio of 85% over the last four semi-annual inclusion cycles, with pro forma portfolios constructed based on MSSBT forecasts yielding average returns of 10.1% in absolute terms and 7.4% relative to the Hang Seng Index within 30 days prior to inclusion [5][25][27]. 6. Sector Performance: Certain sectors, such as Telecoms, Energy, and Health Care, have seen Southbound ownership exceed 40% of total sector free float market capitalization, highlighting the varying impact of SB flows across different industries [38][41][42]. Additional Important Insights - Investment Opportunities: The growing A-H dual listing universe and exclusive investment opportunities in sectors like Internet and New Consumption are expected to keep Hong Kong attractive for Southbound investments [12]. - Market Dynamics: The increasing prominence of Southbound flows is transforming the ownership structure of stocks in Hong Kong, providing liquidity support and influencing price movements, particularly for stocks with solid fundamentals [38][39]. - Performance of Newly Added Stocks: Stocks added to the SB channel tend to outperform the broader market, with an average price increase of 3.7% and 1.6% in the 30 and 15 days prior to inclusion, respectively [49]. This summary encapsulates the critical insights and data points discussed during the conference call, providing a comprehensive overview of the Southbound trading strategy and its implications for the Hong Kong equity market.