中国股票策略：优化 MSSTB-把握南向通标的的全部阿尔法收益-China Equity Strategy-Enhancing MSSBT – Capturing Full Alpha From Southbound Eligibility

Summary of Key Points from the Conference Call Industry Overview - The focus is on the Southbound Stock Connect program, which facilitates trading of Hong Kong-listed stocks by mainland Chinese investors. The program's dynamics significantly impact liquidity and ownership composition in the Hong Kong market. Core Insights and Arguments 1. MSSBT V2 Launch: The introduction of MSSBT V2 aims to enhance alpha generation by incorporating both Southbound deletions and inclusions, with a backtested hit ratio of 93% and an average return of 25% from a two-way trading strategy [1][4][18]. 2. Record Southbound Inflows: Southbound inflows reached a record high of US$170 billion in 2025, continuing strong momentum into 2026, which has increased the importance of Southbound flows for Hong Kong-listed stocks [2][18]. 3. Impact of Deletions: Stocks deleted from the Southbound program typically experience a significant turnover and liquidity drop, with an average daily turnover decline of 44% and a 28% unwinding of Southbound ownership in the 30 days following deletion [3][24]. 4. Forecast for March 2026: The upcoming Southbound review is expected to result in 44 deletions and 25 inclusions. Investors are advised to position themselves accordingly by entering trades approximately 30 days prior to the official rebalancing date [5][8]. 5. Historical Performance of Deleted Stocks: Over 70% of stocks deleted from the Southbound channel experienced an average price drop of 11% in the 30 days leading up to deletion, indicating a pattern of negative price momentum associated with deletions [10][30]. Additional Important Content 1. Trading Strategy: The MSSBT V2 strategy is designed to capitalize on both the positive impacts of stock inclusions and the negative impacts of deletions, leveraging the liquidity dynamics of the Southbound channel [21][34]. 2. Investor Behavior: Deletions from the Southbound eligibility list often lead to reduced liquidity and investor concerns, prompting many to sell their holdings to mitigate risks associated with diminished trading activity [28][29]. 3. Technical Details of Deletions: The deletion process is aligned with the Hang Seng Composite Index (HSCI) review schedule, with specific criteria determining which stocks are eligible for Southbound trading [36][39]. Conclusion The Southbound Stock Connect program remains a critical factor for Hong Kong-listed stocks, with significant implications for liquidity and investor strategy. The MSSBT V2 model aims to optimize returns by effectively navigating the complexities of stock inclusions and deletions, providing investors with actionable insights for upcoming market adjustments.