金融工程定期：港股量化：组合超额创新高，12月维持高股息配置

Quantitative Models and Construction Methods - Model Name: Hong Kong CCASS Preferred 20 Portfolio Model Construction Idea: The model leverages CCASS data from the Hong Kong Stock Exchange to track and replicate the monthly holdings of high-performing brokers. The goal is to identify brokers with superior performance and construct a portfolio based on their holdings[4][38][40] Model Construction Process: 1. At the end of each month, all brokers are ranked based on their standardized excess Sharpe ratio and monthly win rate. These two metrics are equally weighted to form a composite score 2. The top N brokers with the highest composite scores are selected to form a pool of high-performing brokers (N=10) 3. The holdings of these brokers are aggregated, and the top M stocks by weight are retained (M=20) 4. The selected stocks are equally weighted to construct the portfolio Formula: $ \text{Composite Score} = \text{Standardized Excess Sharpe Ratio} + \text{Monthly Win Rate} $ Model Evaluation: The model effectively identifies high-performing brokers and constructs a portfolio with consistent excess returns and risk-adjusted performance[40][41][42] Model Backtesting Results - Hong Kong CCASS Preferred 20 Portfolio: - November 2025 performance: Portfolio return 0.13%, Hang Seng Index return -0.18%, excess return 0.32%[42] - Full period (2020.1–2025.11): - Annualized excess return: 19.7% - Annualized volatility: 7.6% - Sharpe ratio: 2.59 - Maximum drawdown: -6.0% - Monthly win rate: 78.9%[42][43][45] - Annual performance breakdown: - 2020: Annualized excess return 37.4%, Sharpe ratio 3.85, maximum drawdown -5.4%, monthly win rate 91.7% - 2021: Annualized excess return 11.5%, Sharpe ratio 1.40, maximum drawdown -5.1%, monthly win rate 50.0% - 2022: Annualized excess return 12.2%, Sharpe ratio 1.48, maximum drawdown -4.5%, monthly win rate 75.0% - 2023: Annualized excess return 20.3%, Sharpe ratio 2.99, maximum drawdown -3.7%, monthly win rate 75.0% - 2024: Annualized excess return 22.5%, Sharpe ratio 3.38, maximum drawdown -3.7%, monthly win rate 91.7% - 2025: Annualized excess return 15.9%, Sharpe ratio 3.17, maximum drawdown -2.0%, monthly win rate 90.9%[43][44][45]