金融工程定期：港股量化：2025全年组合收益50%，1月组合增配有色

Quantitative Models and Construction Methods Model Name: Hong Kong Stock Connect CCASS Preferred 20 Portfolio - Model Construction Idea: The model uses Hong Kong Stock Exchange CCASS data to track and replicate the monthly holdings of individual brokers, selecting high-performing brokers and their top holdings to construct a portfolio[4][34] - Model Construction Process: 1. Broker Selection: At the end of each month, all brokers are ranked based on their standardized excess Sharpe ratio and monthly win rate, and the top N brokers are selected to form a pool of high-performing brokers[34] 2. Stock Selection: Funds are equally allocated to the N brokers, and their latest holdings are aggregated. The top M stocks by weight are retained and equally weighted to form the portfolio[34] 3. Parameters: N = 10 (number of brokers), M = 20 (number of stocks)[34] - Model Evaluation: The model has shown strong performance with high excess returns and Sharpe ratios, indicating its effectiveness in selecting high-performing stocks[34][36] Model Backtesting Results Hong Kong Stock Connect CCASS Preferred 20 Portfolio - December 2025 Performance: Portfolio return of 0.91%, Hang Seng Index return of -0.88%, excess return of 1.79%[36] - Annual Performance 2025: Portfolio return of 49.9%, annualized excess return of 17.8%[36] - Full Period Performance (2020.1~2025.12): Annualized excess return of 20.0%, excess Sharpe ratio of 2.52[36] Quantitative Factors and Construction Methods Factor Name: Excess Sharpe Ratio and Monthly Win Rate - Factor Construction Idea: These factors are used to evaluate and rank brokers based on their risk-adjusted returns and consistency in generating positive returns[34] - Factor Construction Process: 1. Excess Sharpe Ratio: Calculated as the ratio of excess return to excess volatility for each broker[34] 2. Monthly Win Rate: The proportion of months in which the broker's portfolio outperforms the benchmark[34] 3. Standardization: Both factors are standardized and equally weighted to form a composite score for ranking brokers[34] - Factor Evaluation: These factors effectively identify brokers with superior risk-adjusted performance and consistency, contributing to the overall success of the portfolio[34] Factor Backtesting Results Excess Sharpe Ratio and Monthly Win Rate - Top Brokers Performance: - Phillip Securities (Hong Kong): Annualized excess return of 10.4%, excess Sharpe ratio of 1.73, monthly win rate of 73.61%[35] - GF Securities: Annualized excess return of 12.9%, excess Sharpe ratio of 1.29, monthly win rate of 79.17%[35] - Grand Partners Securities: Annualized excess return of 18.1%, excess Sharpe ratio of 1.65, monthly win rate of 73.61%[35] Portfolio Holdings for January 2026 - Top Holdings: - Tencent Holdings (0700.HK): PEttm 22.9, ROEttm 4.7%, Market Cap 54630.2 billion HKD[40] - Xiaomi Corporation (1810.HK): PEttm 21.2, ROEttm 5.1%, Market Cap 10236.6 billion HKD[40] - SMIC (0981.HK): PEttm 118.5, ROEttm 0.9%, Market Cap 7006.8 billion HKD[40] - Hong Kong Exchanges and Clearing (0388.HK): PEttm 30.0, ROEttm 7.7%, Market Cap 5167.7 billion HKD[40] - Ping An Insurance (2318.HK): PEttm 7.7, ROEttm 2.9%, Market Cap 12924.9 billion HKD[40]