Replication Plan and Verification Report for the Hang Seng TECH Index

URL: https://alice.wind.com.cn/#/zh/customers/16 Summary: Construct a differentiated replication plan under the premise of consistent compilation rules with the Hang Seng TECH Index, and verify its effectiveness.

Detailed Content:

• I. Overview of the Replication Plan

  • Core Requirements:
    • Sample difference exceeds 30% (at least 10 non-official constituent stocks).
    • Belongs to the "Information Technology" sector.
    • Compliant with the official compilation scheme (market capitalization ranking, free-float market capitalization weighting, quarterly rebalancing).
    • Tracking error less than 5%.

• II. Core Data and Constituent Construction

  • 1. Official Constituents (2026-01-13) Examples: SenseTime-W (2.02%), Alibaba Health (1.03%), Kingdee International (1.21%), Tencent Holdings (7.79%), SMIC (8.21%), etc.
  • 2. Custom Index Construction Strategy:
    • Filter stocks in the "Information Technology" sector on the Hong Kong Main Board.
    • Exclude official constituent stocks to obtain a "non-official tech stocks" pool.
    • Select 10 non-official tech stocks + 20 official constituent stocks.
  • 3. Verification Results: From 2021 to 2026, the adjustments in each period met the requirement of 10 non-official stocks.

• III. Backtesting Results and Performance Analysis

  • 1. Custom Index Performance (2025-01-01 to 2026-01-13):
    • Interval return: 47.17% (Custom) vs 33.56% (Official) -> +13.61%
    • Annualized return: 45.37% (Custom) vs 32.15% (Official) -> +13.22%
    • Maximum drawdown: -25.07% (Custom) vs -37.55% (Official) -> +12.48% (Better performance)
    • Sharpe ratio: 132.19% (Custom) vs 96.14% (Official) -> +36.05%
  • 2. Tracking Error Estimation:
    • The average tracking error is approximately 4.0%, which meets the requirement of being less than 5%.