📊 Multi-Factor Quantitative Equity Strategy

Daily Signal Report | 2026-09-01 07:01 | Target: 15% Return on 6-Month Forward Basis

Strategy Framework & Methodology

Both strategies use a multi-factor quantitative model with monthly rebalancing on the 3rd week of each month (~21 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: Monthly (3rd week, ~21 days) 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) REBALANCE

US Large-Cap Universe (19 stocks) | Days since rebalance: 31

Rank	Ticker	Composite	Factors
#1	MSFT	0.705	M:0.82 T:0.50 R:0.89 S:0.50
#2	ORCL	0.684	M:0.71 T:0.50 R:1.00 S:0.50
#3	NVDA	0.632	M:0.76 T:0.50 R:0.63 S:0.50
#4	TSM	0.626	M:0.72 T:0.50 R:0.68 S:0.50
#5	NFLX	0.584	M:0.72 T:0.50 R:0.47 S:0.50
#6	LLY	0.553	M:0.59 T:0.50 R:0.58 S:0.50
#7	BAC	0.526	M:0.82 T:0.50 R:0.00 S:0.50
#8	JPM	0.526	M:0.71 T:0.50 R:0.21 S:0.50
#9	JNJ	0.510	M:0.62 T:0.50 R:0.32 S:0.50
#10	AMZN	0.510	M:0.30 T:0.50 R:0.95 S:0.50

🔄 Rebalance Transactions

The following transactions are recommended for this rebalancing cycle:

Action	Ticker	Reason
BUY	ORCL	Ranked #2 with composite score 0.684 \| Strong momentum (0.71) \| Low volatility profile (1.00)
BUY	NFLX	Ranked #5 with composite score 0.584 \| Strong momentum (0.72)
BUY	LLY	Ranked #6 with composite score 0.553
BUY	BAC	Ranked #7 with composite score 0.526 \| Strong momentum (0.82)
BUY	JNJ	Ranked #9 with composite score 0.511
SELL	META	Dropped from top 10 (score: 0.458) \| Now ranked #12 \| Weak momentum (0.25)
SELL	AAPL	Dropped from top 10 (score: 0.368) \| Now ranked #17 \| Weak momentum (0.16)
SELL	AVGO	Dropped from top 10 (score: 0.453) \| Now ranked #15 \| Weak momentum (0.26)
SELL	XOM	Dropped from top 10 (score: 0.484) \| Now ranked #11
SELL	V	Dropped from top 10 (score: 0.363) \| Now ranked #18 \| High volatility (0.11)

🇭🇰 HK Strategy (Top 5) REBALANCE

Hang Seng Index Universe (20 stocks) | Days since rebalance: 31

Rank	Ticker	Composite	Factors
#1	3750.HK	0.674	M:0.82 T:0.50 R:0.74 S:0.50
#2	6288.HK	0.663	M:0.68 T:0.50 R:0.95 S:0.50
#3	0005.HK	0.584	M:0.78 T:0.50 R:0.37 S:0.50
#4	9988.HK	0.579	M:0.50 T:0.50 R:0.89 S:0.50
#5	0300.HK	0.542	M:0.75 T:0.50 R:0.21 S:0.50

🔄 Rebalance Transactions

The following transactions are recommended for this rebalancing cycle:

Action	Ticker	Reason
BUY	3750.HK	Ranked #1 with composite score 0.674 \| Strong momentum (0.82) \| Low volatility profile (0.74)
BUY	0005.HK	Ranked #3 with composite score 0.584 \| Strong momentum (0.78)
SELL	9618.HK	Dropped from top 5 (score: 0.405) \| Now ranked #18 \| Weak momentum (0.01)
SELL	0857.HK	Dropped from top 5 (score: 0.400) \| Now ranked #19 \| Weak momentum (0.21)

📋 Full Universe Rankings

Global (All 19)

Ticker	Score	Mom	Tech	Risk	Sent
MSFT	0.705	0.82	0.50	0.89	0.50
ORCL	0.684	0.71	0.50	1.00	0.50
NVDA	0.632	0.76	0.50	0.63	0.50
TSM	0.626	0.72	0.50	0.68	0.50
NFLX	0.584	0.72	0.50	0.47	0.50
LLY	0.553	0.59	0.50	0.58	0.50
BAC	0.526	0.82	0.50	0.00	0.50
JPM	0.526	0.71	0.50	0.21	0.50
JNJ	0.510	0.62	0.50	0.32	0.50
AMZN	0.510	0.30	0.50	0.95	0.50
XOM	0.484	0.50	0.50	0.42	0.50
META	0.458	0.25	0.50	0.79	0.50
GOOGL	0.458	0.22	0.50	0.84	0.50
MA	0.458	0.46	0.50	0.37	0.50
AVGO	0.453	0.26	0.50	0.74	0.50
WMT	0.410	0.39	0.50	0.26	0.50
AAPL	0.368	0.16	0.50	0.53	0.50
V	0.363	0.36	0.50	0.11	0.50
BRK-B	0.363	0.33	0.50	0.16	0.50
PG	0.326	0.29	0.50	0.05	0.50

HK (All 20)

Ticker	Score	Mom	Tech	Risk	Sent
3750.HK	0.674	0.82	0.50	0.74	0.50
6288.HK	0.663	0.68	0.50	0.95	0.50
0005.HK	0.584	0.78	0.50	0.37	0.50
9988.HK	0.579	0.50	0.50	0.89	0.50
0300.HK	0.542	0.75	0.50	0.21	0.50
9999.HK	0.537	0.45	0.50	0.79	0.50
1088.HK	0.537	0.63	0.50	0.42	0.50
0883.HK	0.526	0.50	0.50	0.63	0.50
0388.HK	0.521	0.75	0.50	0.11	0.50
1398.HK	0.516	0.55	0.50	0.47	0.50
0939.HK	0.489	0.46	0.50	0.53	0.50
0700.HK	0.474	0.26	0.50	0.84	0.50
0941.HK	0.468	0.67	0.50	0.00	0.50
3988.HK	0.458	0.49	0.50	0.32	0.50
3328.HK	0.442	0.53	0.50	0.16	0.50
1288.HK	0.437	0.25	0.50	0.68	0.50
3968.HK	0.426	0.43	0.50	0.26	0.50
9618.HK	0.405	0.01	0.50	1.00	0.50
0857.HK	0.400	0.21	0.50	0.58	0.50
2318.HK	0.321	0.28	0.50	0.05	0.50

📜 Recent Transaction History

Record of buy and sell transactions from recent rebalancing cycles.

Date	Strategy	Action	Ticker	Reason
2026-09-01	🌍 Global	BUY	ORCL	Ranked #2 with composite score 0.684 \| Strong momentum (0.71) \| Low volatility profile (1.00)
2026-09-01	🌍 Global	BUY	NFLX	Ranked #5 with composite score 0.584 \| Strong momentum (0.72)
2026-09-01	🌍 Global	BUY	LLY	Ranked #6 with composite score 0.553
2026-09-01	🌍 Global	BUY	BAC	Ranked #7 with composite score 0.526 \| Strong momentum (0.82)
2026-09-01	🌍 Global	BUY	JNJ	Ranked #9 with composite score 0.511
2026-09-01	🌍 Global	SELL	META	Dropped from top 10 (score: 0.458) \| Now ranked #12 \| Weak momentum (0.25)
2026-09-01	🌍 Global	SELL	AAPL	Dropped from top 10 (score: 0.368) \| Now ranked #17 \| Weak momentum (0.16)
2026-09-01	🌍 Global	SELL	AVGO	Dropped from top 10 (score: 0.453) \| Now ranked #15 \| Weak momentum (0.26)
2026-09-01	🌍 Global	SELL	XOM	Dropped from top 10 (score: 0.484) \| Now ranked #11
2026-09-01	🌍 Global	SELL	V	Dropped from top 10 (score: 0.363) \| Now ranked #18 \| High volatility (0.11)
2026-09-01	🇭🇰 HK	BUY	3750.HK	Ranked #1 with composite score 0.674 \| Strong momentum (0.82) \| Low volatility profile (0.74)
2026-09-01	🇭🇰 HK	BUY	0005.HK	Ranked #3 with composite score 0.584 \| Strong momentum (0.78)
2026-09-01	🇭🇰 HK	SELL	9618.HK	Dropped from top 5 (score: 0.405) \| Now ranked #18 \| Weak momentum (0.01)
2026-09-01	🇭🇰 HK	SELL	0857.HK	Dropped from top 5 (score: 0.400) \| Now ranked #19 \| Weak momentum (0.21)
2026-08-01	🌍 Global	BUY	AAPL	Ranked #2 with composite score 0.642 \| Strong momentum (0.82)
2026-08-01	🌍 Global	BUY	NVDA	Ranked #3 with composite score 0.632 \| Low volatility profile (0.79)
2026-08-01	🌍 Global	BUY	XOM	Ranked #5 with composite score 0.547
2026-08-01	🌍 Global	BUY	MSFT	Ranked #9 with composite score 0.511
2026-08-01	🌍 Global	SELL	LLY	Dropped from top 10 (score: 0.500) \| Now ranked #11
2026-08-01	🌍 Global	SELL	JNJ	Dropped from top 10 (score: 0.468) \| Now ranked #15