港股通量化选股策略分析报告

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/01港股通个数（个）其中_日均成交额>1千万港股持有市值占比18.8%60055050045040035030025020015010020%18%16%14%12%10%8%6%4%2%0%501个股数个股数占比（右轴）个股数占比市值占比（右轴）30050%45%40%35%30%25%20%15%10%5%30%25%20%15%10%5%95%90%85%80%75%70%65%2532502001501005045.8%18333.1%8715.7%2825.1%00.4%0%0%601-tptptp-2.4%7.2%4.0%8.7%12.5%4.7%43.0%53.9%58.6%61.7%63.3%55.5%-1.011.641.253.252.281.040.3160.1030.2140.0010.0240.3026.2%0.7%57.0%52.3%66.4%68.0%68.8%59.4%1.330.233.635.962.811.120.1870.8190.0000.0000.0060.264-8.6%6.5%-5.2%-2.9%0.6%0.3%39.1%55.5%39.8%41.4%50.8%52.3%-1.792.08-2.78-1.700.240.110.0760.0400.0060.0920.8100.9119.1%11.6%11.9%4.4%78

/02PBPE//TTMPCF/TTM1313//-//=1-=+-1/9021002

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()H5006920152016201720182019202020212022202320242025-7.6%-0.8%38.1%-16.2%10.9%13.8%-12.5%-18.1%-14.6%15.6%33.2%2.2%-2.8%6.5%4.8%7.2%3.4%12.1%69.1%-13.5%30.4%16.9%22.8%-16.7%0.2%11.0%12.8%31.0%2.8%4.3%17.2%21.4%-1.0%6.8%-3.6%8.1%-9.0%0.4%-8.1%7.3%55.2%-13.7%30.1%13.8%7.6%17.1%2.5%81.9%-10.6%17.4%-9.1%2.4%21.4%-4.6%4.1%30.2%-8.2%7.4%19.2%0.0%19.6%3.1%-19.9%14.2%3.5%-16.4%26.1%-3.0%5.0%-7.3%-1.4%-5.5%-8.4%28.7%31.5%4.9%20.1%0.2%35.3%1.4%-17.9%-2.6%21.9%50.6%11.7%1.6%12.0%6.3%14.9%10.7%9.2%5.4%8.6%26.3%42.3%15.8%34.2%21.4%9.1%32.0%24.5%11.8%40.3%24.9%6.9%17.4%9.5%13.6%1202>50≥1000>50≥100020152016201720182019202020212022202320242025-7.6%-0.8%38.1%-16.2%10.9%13.8%-12.5%-18.1%-14.6%15.6%33.2%2.2%-7.2%8.6%0.4%9.4%7.8%1.9%7.1%9.8%31.0%3.6%18.8%2.6%14.2%9.9%-10.3%-2.8%13.3%5.8%3.3%5.3%-2.8%38.1%1.2%12.9%5.2%2.9%7.7%-11.5%5.9%-3.9%6.7%6.9%4.4%7.1%9.8%31.2%4.5%18.8%4.5%10.8%9.4%-14.8%-7.3%8.3%4.8%5.4%5.3%-2.8%39.3%1.5%12.9%7.2%0.2%7.0%12.5%43.9%-13.0%16.2%10.9%25.6%-16.9%-1.7%20.8%36.1%9.9%7.6%42.9%-10.8%16.1%10.9%26.8%-16.6%-1.7%22.8%33.4%9.2%45.9%-14.4%18.0%23.6%18.4%-14.5%4.1%18.1%47.4%12.1%45.0%-11.8%18.0%23.6%18.7%-13.6%4.2%20.1%44.0%11.6%1314

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••••150312/341234>501>10000.210%Wind/430ROE

ROE_TTM-ROE4/16031703港股通股票池港股通股票池（剔除流动性较低个股）

港股主板（剔除流动性较低个股）港股通指数组合收益超额收益6.0%组合收益-2.2%3.4%超额收益5.4%组合收益-2.0%4.3%超额收益5.5%20152016201720182019202020212022202320242025-7.6%-0.8%38.1%-16.2%10.9%13.8%-12.5%-18.1%-14.6%15.6%33.2%2.2%-1.6%3.1%3.8%4.1%5.1%51.4%-12.4%19.5%26.8%3.2%13.3%3.9%51.4%-10.6%20.5%24.3%5.2%13.3%5.7%51.8%-10.1%21.3%25.9%1.5%13.7%6.2%8.7%9.6%10.4%12.1%14.0%10.0%14.6%9.9%13.0%15.7%12.0%14.8%11.0%10.7%10.5%17.7%9.3%-6.1%0.2%-8.8%2.3%-8.1%-0.1%25.4%39.7%16.9%8.0%26.5%43.9%12.8%23.6%43.3%10.1%6.5%全区间10.6%12.6%10.5%12.4%10.2%1819

/0412/3>501>10000.2123/3615ROIC/(+)ROE3045-/131/-120042104港股通股票池港股主板港股通股票池（剔除流动性较低个股）（剔除流动性较低个股）相对港股通成长策略指

组合收益数相对港股通成长策略指

组合收益数相对港股通成长策略指数相对港股通指数相对港股通指数相对港股通指数港股通指数

组合收益20152016201720182019202020212022202320242025-7.6%-0.8%38.1%-16.2%10.9%13.8%-12.5%-18.1%-14.6%15.6%33.2%2.2%1.0%17.0%68.3%-19.6%28.9%115.2%-0.2%-15.1%-4.8%27.8%73.5%21.4%8.6%17.8%30.2%-3.4%18.0%101.4%12.3%3.0%2.7%19.5%17.4%-1.9%5.9%1.3%18.2%65.7%-20.3%34.9%118.0%3.3%8.9%19.0%27.6%-4.1%24.1%104.2%15.9%4.6%3.0%20.7%14.8%-2.6%12.0%75.2%19.0%10.3%11.9%8.1%-4.1%8.3%3.5%9.0%-2.5%10.7%13.8%0.8%64.8%-16.9%33.3%119.3%-2.1%-7.6%-4.7%21.7%85.0%21.6%26.6%-0.7%22.4%105.6%10.5%10.4%9.9%10.3%76.5%13.5%16.1%9.1%72.4%15.4%8.6%-13.5%-1.9%21.6%70.6%22.2%9.8%9.0%12.8%6.0%12.2%40.3%19.2%14.3%34.8%15.6%6.1%8.2%37.4%20.0%31.9%16.4%51.8%19.4%46.3%15.8%全区间2223

/05512/3>501>10000.2>1001>500012345-1*3-1*PB5SUE

ROE330/21/5%2405选股池：港股通，选股池：港股通，市值>50亿元，日均成交额>1千万元市值>100亿元，日均成交额>5千万元港股通指数等权组合组合收益市值加权组合组合收益等权组合组合收益市值加权组合超额收益28.1%12.1%29.8%8.4%超额收益23.4%14.3%40.2%11.2%22.9%49.5%24.3%21.4%18.3%10.2%16.1%超额收益18.6%5.9%组合收益超额收益16.8%4.4%20152016201720182019202020212022202320242025-7.6%-0.8%38.1%-16.2%10.9%13.8%-12.5%-18.1%-14.6%15.6%33.2%2.2%20.6%11.4%67.9%-7.8%32.3%56.7%9.8%15.9%13.6%78.3%-5.0%33.8%63.3%11.8%3.3%11.1%5.1%9.3%3.6%66.6%-12.2%26.7%47.2%17.4%-0.8%6.6%28.5%4.0%75.0%-13.5%22.0%59.2%17.3%0.8%36.9%2.7%21.4%43.0%22.3%15.9%19.3%9.0%15.8%33.4%29.9%17.3%21.2%7.8%11.2%45.4%29.8%18.9%22.4%3.4%-2.2%4.7%3.7%7.7%24.5%52.8%23.2%25.7%49.3%25.1%23.4%74.3%22.2%18.9%62.9%21.8%19.6%41.2%29.7%全区间21.0%23.0%20.0%19.6%2505策略投资理念涉及的选股因子价值策略寻找市场价格低于内在价值的“被低估”个股，以减少市场波动影响现金流比例、股息率、回购比例护城河策略

具有强大护城河的企业，能够在市场竞争中保持领先地位，为投资者提供安全边际市场份额、无形资产、成本优势、现金利润占比增长、研发、盈利能力、盈利质量、股价相对强度市值、价值、成长、质量、动量成长策略均衡策略通过投资于高速发展企业，分享其业绩增长带来的边际增值均衡配置市值、价值、成长、质量、动量5类选股因子2605

2705绝对收益信息比0.21相对港股通指数超额收益收益率2.2%波动率22.3%23.4%23.3%27.3%23.4%最大回撤55