📊 Multi-Factor Quantitative Equity Strategy

Daily Signal Report | 2026-06-13 08:05 | Target: 15% Return on 6-Month Forward Basis

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Strategy Framework & Methodology

Both strategies use a multi-factor quantitative model with monthly rebalancing (every 20 trading days). Stocks are ranked by composite score and the top N are selected for equal-weight portfolio construction.

40%
Momentum
25%
Technical
20%
Risk/Volatility
15%
Sentiment

📖 How This Strategy Works

1. Factor Calculation

For each stock in the universe (20 US large-caps / 20 HK stocks), we calculate 4 factor categories using 60 days of OHLCV data:

  • Momentum (40%): 1-month return, 3-month return, momentum acceleration (change in 1M over 10 days), trend strength ((Price-MA14)/ATR14)
  • Technical (25%): RSI(14), Bollinger Band position, relative volatility ratio
  • Risk (20%): 20-day realized volatility — lower vol scores higher (inverse ranking)
  • Sentiment (15%): Volume spike ratio (today vs 20-day average)

2. Cross-Sectional Ranking

Each factor is converted to a percentile rank (0 to 1) across all universe stocks:

  • Stocks are sorted by each factor value
  • Rank percentile = position / (N-1), where N = universe size
  • For volatility: lower values rank higher (inverse)
  • Composite = 40%×Momentum + 25%×Technical + 20%×Risk + 15%×Sentiment

3. Portfolio Construction

  • Global: Top 10 composite scores → equal-weight (10% each)
  • HK: Top 5 composite scores → equal-weight (20% each)
  • Rebalance trigger: every 20 trading days OR if turnover > 50%
  • Transaction cost assumed: 15 bps per trade

4. Backtest & Evaluation Framework

Backtest Period: April 2024 – April 2026 (24 months) using daily closing prices.
Rebalancing: Every 20 trading days (~monthly) with 15 bps transaction cost.
Performance Metrics: NAV (Base=100), Alpha (annualized excess return vs benchmark), Beta (market sensitivity), Sharpe Ratio (risk-adjusted return), Max Drawdown (peak-to-trough decline), Win Rate (% of positive days).
Risk Management: Strategy pauses if current drawdown exceeds -12%. All hypothetical results — not financial advice.

🌍 Global Strategy (Top 10) HOLD

US Large-Cap Universe (19 stocks) | Days since rebalance: 0

Rank Ticker Composite Factors
#1 LLY 0.653
M:0.84 T:0.50 R:0.58 S:0.50
#2 TSM 0.653
M:0.68 T:0.50 R:0.89 S:0.50
#3 BAC 0.584
M:0.93 T:0.50 R:0.05 S:0.50
#4 PG 0.579
M:0.74 T:0.50 R:0.42 S:0.50
#5 JPM 0.574
M:0.80 T:0.50 R:0.26 S:0.50
#6 AVGO 0.537
M:0.37 T:0.50 R:0.95 S:0.50
#7 ORCL 0.537
M:0.34 T:0.50 R:1.00 S:0.50
#8 JNJ 0.516
M:0.74 T:0.50 R:0.11 S:0.50
#9 WMT 0.510
M:0.43 T:0.50 R:0.68 S:0.50
#10 XOM 0.500
M:0.43 T:0.50 R:0.63 S:0.50

🇭🇰 HK Strategy (Top 5) HOLD

Hang Seng Index Universe (20 stocks) | Days since rebalance: 0

Rank Ticker Composite Factors
#1 9999.HK 0.658
M:0.72 T:0.50 R:0.84 S:0.50
#2 0700.HK 0.621
M:0.58 T:0.50 R:0.95 S:0.50
#3 1088.HK 0.605
M:0.67 T:0.50 R:0.68 S:0.50
#4 1398.HK 0.584
M:0.80 T:0.50 R:0.32 S:0.50
#5 0300.HK 0.584
M:0.67 T:0.50 R:0.58 S:0.50

📋 Full Universe Rankings

Global (All 19)

TickerScoreMomTechRiskSent
TSM 0.653 0.68 0.50 0.89 0.50
LLY 0.653 0.84 0.50 0.58 0.50
BAC 0.584 0.93 0.50 0.05 0.50
PG 0.579 0.74 0.50 0.42 0.50
JPM 0.574 0.80 0.50 0.26 0.50
AVGO 0.537 0.37 0.50 0.95 0.50
ORCL 0.537 0.34 0.50 1.00 0.50
JNJ 0.516 0.74 0.50 0.11 0.50
WMT 0.510 0.43 0.50 0.68 0.50
XOM 0.500 0.43 0.50 0.63 0.50
MA 0.479 0.54 0.50 0.32 0.50
NVDA 0.474 0.26 0.50 0.84 0.50
MSFT 0.463 0.26 0.50 0.79 0.50
AAPL 0.447 0.43 0.50 0.37 0.50
V 0.442 0.53 0.50 0.16 0.50
GOOGL 0.426 0.33 0.50 0.47 0.50
META 0.421 0.18 0.50 0.74 0.50
BRK-B 0.421 0.55 0.50 0.00 0.50
AMZN 0.410 0.26 0.50 0.53 0.50
NFLX 0.374 0.33 0.50 0.21 0.50

HK (All 20)

TickerScoreMomTechRiskSent
9999.HK 0.658 0.72 0.50 0.84 0.50
0700.HK 0.621 0.58 0.50 0.95 0.50
1088.HK 0.605 0.67 0.50 0.68 0.50
1398.HK 0.584 0.80 0.50 0.32 0.50
0300.HK 0.584 0.67 0.50 0.58 0.50
3328.HK 0.574 0.80 0.50 0.26 0.50
1288.HK 0.537 0.63 0.50 0.42 0.50
3988.HK 0.532 0.78 0.50 0.11 0.50
3968.HK 0.532 0.72 0.50 0.21 0.50
3750.HK 0.526 0.32 0.50 1.00 0.50
0005.HK 0.516 0.47 0.50 0.63 0.50
0883.HK 0.489 0.36 0.50 0.74 0.50
0939.HK 0.474 0.61 0.50 0.16 0.50
0857.HK 0.453 0.37 0.50 0.53 0.50
6288.HK 0.447 0.38 0.50 0.47 0.50
9618.HK 0.437 0.20 0.50 0.79 0.50
9988.HK 0.390 0.03 0.50 0.89 0.50
0941.HK 0.374 0.43 0.50 0.00 0.50
2318.HK 0.342 0.33 0.50 0.05 0.50
0388.HK 0.326 0.13 0.50 0.37 0.50

📜 Recent Transaction History

Record of buy and sell transactions from recent rebalancing cycles.

DateStrategyActionTickerReason
2026-06-12 🇭🇰 HK BUY 1088.HK Ranked #3 with composite score 0.605
2026-06-12 🇭🇰 HK SELL 3988.HK Dropped from top 5 (score: 0.532) | Now ranked #8 | High volatility (0.11)
2026-06-11 🌍 Global BUY XOM Ranked #7 with composite score 0.537
2026-06-11 🌍 Global BUY WMT Ranked #9 with composite score 0.516
2026-06-11 🌍 Global BUY JNJ Ranked #10 with composite score 0.516 | Strong momentum (0.71)
2026-06-11 🌍 Global SELL MSFT Dropped from top 10 (score: 0.505) | Now ranked #11
2026-06-11 🌍 Global SELL NVDA Dropped from top 10 (score: 0.495) | Now ranked #12
2026-06-11 🌍 Global SELL META Dropped from top 10 (score: 0.442) | Now ranked #15 | Weak momentum (0.24)
2026-06-11 🇭🇰 HK BUY 9999.HK Ranked #2 with composite score 0.611 | Low volatility profile (0.84)
2026-06-11 🇭🇰 HK BUY 1398.HK Ranked #4 with composite score 0.579 | Strong momentum (0.76)
2026-06-11 🇭🇰 HK BUY 3988.HK Ranked #5 with composite score 0.574 | Strong momentum (0.88)
2026-06-11 🇭🇰 HK SELL 3750.HK Dropped from top 5 (score: 0.526) | Now ranked #10
2026-06-11 🇭🇰 HK SELL 1088.HK Dropped from top 5 (score: 0.563) | Now ranked #8
2026-06-11 🇭🇰 HK SELL 3328.HK Dropped from top 5 (score: 0.568) | Now ranked #6 | High volatility (0.26)
2026-06-09 🌍 Global BUY AVGO Ranked #7 with composite score 0.526 | Low volatility profile (0.95)
2026-06-09 🌍 Global BUY NVDA Ranked #8 with composite score 0.526 | Low volatility profile (0.89)
2026-06-09 🌍 Global SELL XOM Dropped from top 10 (score: 0.505) | Now ranked #11
2026-06-09 🌍 Global SELL JNJ Dropped from top 10 (score: 0.489) | Now ranked #12 | High volatility (0.21)
2026-06-09 🇭🇰 HK BUY 3328.HK Ranked #4 with composite score 0.563 | Strong momentum (0.78)
2026-06-09 🇭🇰 HK BUY 0700.HK Ranked #5 with composite score 0.558 | Low volatility profile (0.89)

⚠️ Disclaimer: All performance results are backtested and hypothetical. Not financial advice.

Report generated on 2026-06-13 08:05 | Data source: Yahoo Finance