金融工程定期：港股量化：2月市场表现不佳，3月组合维持价值配置

Quantitative Models and Construction Methods - Model Name: Hong Kong Stock 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 individual brokers. It identifies high-performing brokers and constructs a portfolio based on their holdings[36][38] Model Construction Process: 1. Use CCASS data to analyze the holdings of brokers in Hong Kong stocks 2. At the end of each month, rank all brokers based on their standardized excess Sharpe ratio and monthly win rate, and calculate a composite score by equally weighting these two metrics 3. Select the top N brokers with the highest composite scores to form a pool of high-performing brokers 4. Allocate funds equally among the N brokers and aggregate their latest holdings 5. Retain the top M stocks by weight and allocate them equally to construct the portfolio Formula: $ \text{Composite Score} = \text{Standardized Excess Sharpe Ratio} + \text{Monthly Win Rate} $ Parameters: - N = 10 (number of brokers) - M = 20 (number of stocks) Model Evaluation: The model effectively identifies high-performing brokers and constructs a portfolio with strong historical performance, demonstrating its potential for excess returns[36][37][38] Model Backtesting Results - Hong Kong Stock CCASS Preferred 20 Portfolio: - February 2026 performance: - Portfolio return: -3.36% - Benchmark (Hang Seng Index) return: -2.76% - Excess return: -0.60%[38] - Full period performance (2020.1–2026.2): - Annualized excess return: 17.0% - Excess Sharpe ratio: 2.23[38] - Annualized performance by year: - 2020: Annualized excess return 22.6%, Sharpe ratio 2.33, maximum drawdown -4.9%, monthly win rate 66.7% - 2021: Annualized excess return 13.8%, Sharpe ratio 1.72, maximum drawdown -4.1%, monthly win rate 75.0% - 2022: Annualized excess return 11.4%, Sharpe ratio 1.35, maximum drawdown -5.6%, monthly win rate 66.7% - 2023: Annualized excess return 19.6%, Sharpe ratio 2.85, maximum drawdown -3.3%, monthly win rate 75.0% - 2024: Annualized excess return 21.6%, Sharpe ratio 3.04, maximum drawdown -3.8%, monthly win rate 91.7% - 2025: Annualized excess return 18.1%, Sharpe ratio 3.41, maximum drawdown -2.6%, monthly win rate 83.3% - 2026 YTD: Annualized excess return -8.3%, Sharpe ratio -1.64, maximum drawdown -1.8%, monthly win rate 0.0% - Full period: Annualized excess return 17.0%, Sharpe ratio 2.23, maximum drawdown -7.3%, monthly win rate 74.3%[39]