📊 Multi-Factor Quantitative Equity Strategy

Daily Signal Report | 2026-07-15 08:06 | 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 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) HOLD

US Large-Cap Universe (19 stocks) | Days since rebalance: 13

Rank Ticker Composite Factors
#1 META 0.705
M:0.79 T:0.50 R:0.95 S:0.50
#2 AAPL 0.642
M:0.82 T:0.50 R:0.58 S:0.50
#3 NVDA 0.632
M:0.68 T:0.50 R:0.79 S:0.50
#4 AVGO 0.590
M:0.53 T:0.50 R:0.89 S:0.50
#5 XOM 0.547
M:0.68 T:0.50 R:0.37 S:0.50
#6 TSM 0.521
M:0.30 T:0.50 R:1.00 S:0.50
#7 AMZN 0.516
M:0.53 T:0.50 R:0.53 S:0.50
#8 JPM 0.510
M:0.64 T:0.50 R:0.26 S:0.50
#9 MSFT 0.510
M:0.43 T:0.50 R:0.68 S:0.50
#10 V 0.510
M:0.72 T:0.50 R:0.11 S:0.50

🇭🇰 HK Strategy (Top 5) HOLD

Hang Seng Index Universe (20 stocks) | Days since rebalance: 13

Rank Ticker Composite Factors
#1 9988.HK 0.679
M:0.70 T:0.50 R:1.00 S:0.50
#2 9618.HK 0.626
M:0.70 T:0.50 R:0.74 S:0.50
#3 6288.HK 0.616
M:0.59 T:0.50 R:0.89 S:0.50
#4 0300.HK 0.595
M:0.80 T:0.50 R:0.37 S:0.50
#5 0857.HK 0.574
M:0.67 T:0.50 R:0.53 S:0.50

📋 Full Universe Rankings

Global (All 19)

TickerScoreMomTechRiskSent
META 0.705 0.79 0.50 0.95 0.50
AAPL 0.642 0.82 0.50 0.58 0.50
NVDA 0.632 0.68 0.50 0.79 0.50
AVGO 0.590 0.53 0.50 0.89 0.50
XOM 0.547 0.68 0.50 0.37 0.50
TSM 0.521 0.30 0.50 1.00 0.50
AMZN 0.516 0.53 0.50 0.53 0.50
MSFT 0.510 0.43 0.50 0.68 0.50
JPM 0.510 0.64 0.50 0.26 0.50
V 0.510 0.72 0.50 0.11 0.50
LLY 0.500 0.43 0.50 0.63 0.50
MA 0.500 0.67 0.50 0.16 0.50
BAC 0.495 0.71 0.50 0.05 0.50
GOOGL 0.474 0.45 0.50 0.47 0.50
JNJ 0.468 0.46 0.50 0.42 0.50
NFLX 0.458 0.22 0.50 0.84 0.50
ORCL 0.410 0.16 0.50 0.74 0.50
WMT 0.347 0.21 0.50 0.32 0.50
PG 0.342 0.25 0.50 0.21 0.50
BRK-B 0.321 0.30 0.50 0.00 0.50

HK (All 20)

TickerScoreMomTechRiskSent
9988.HK 0.679 0.70 0.50 1.00 0.50
9618.HK 0.626 0.70 0.50 0.74 0.50
6288.HK 0.616 0.59 0.50 0.89 0.50
0300.HK 0.595 0.80 0.50 0.37 0.50
0857.HK 0.574 0.67 0.50 0.53 0.50
9999.HK 0.568 0.50 0.50 0.84 0.50
0883.HK 0.532 0.51 0.50 0.63 0.50
1088.HK 0.521 0.70 0.50 0.21 0.50
0700.HK 0.510 0.38 0.50 0.79 0.50
3988.HK 0.495 0.39 0.50 0.68 0.50
0388.HK 0.484 0.66 0.50 0.11 0.50
0005.HK 0.484 0.71 0.50 0.00 0.50
1398.HK 0.468 0.43 0.50 0.47 0.50
2318.HK 0.447 0.33 0.50 0.58 0.50
0941.HK 0.437 0.57 0.50 0.05 0.50
3328.HK 0.421 0.42 0.50 0.26 0.50
3750.HK 0.395 0.01 0.50 0.95 0.50
0939.HK 0.395 0.33 0.50 0.32 0.50
3968.HK 0.379 0.37 0.50 0.16 0.50
1288.HK 0.374 0.22 0.50 0.42 0.50

📜 Recent Transaction History

Record of buy and sell transactions from recent rebalancing cycles.

DateStrategyActionTickerReason
2026-07-01 🌍 Global BUY TSM Initial portfolio position (monthly rebalance)
2026-07-01 🌍 Global BUY LLY Initial portfolio position (monthly rebalance)
2026-07-01 🌍 Global BUY JNJ Initial portfolio position (monthly rebalance)
2026-07-01 🌍 Global BUY GOOGL Initial portfolio position (monthly rebalance)
2026-07-01 🌍 Global BUY AMZN Initial portfolio position (monthly rebalance)
2026-07-01 🌍 Global BUY V Initial portfolio position (monthly rebalance)
2026-07-01 🌍 Global BUY AVGO Initial portfolio position (monthly rebalance)
2026-07-01 🌍 Global BUY MA Initial portfolio position (monthly rebalance)
2026-07-01 🌍 Global BUY JPM Initial portfolio position (monthly rebalance)
2026-07-01 🌍 Global BUY META Initial portfolio position (monthly rebalance)
2026-07-01 🇭🇰 HK BUY 6288.HK Initial portfolio position (monthly rebalance)
2026-07-01 🇭🇰 HK BUY 0005.HK Initial portfolio position (monthly rebalance)
2026-07-01 🇭🇰 HK BUY 9999.HK Initial portfolio position (monthly rebalance)
2026-07-01 🇭🇰 HK BUY 3750.HK Initial portfolio position (monthly rebalance)
2026-07-01 🇭🇰 HK BUY 0700.HK Initial portfolio position (monthly rebalance)

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

Report generated on 2026-07-15 08:06 | Data source: Yahoo Finance