金融工程定期：券商金股解析月报（2025年5月）-20250506

• The report discusses the characteristics of broker-recommended stocks for May, highlighting that Gree Electric Appliances, Kingnet Network, Hygon Information, Zijin Mining, and Proya were among the most frequently recommended stocks[2][13][14] - The report notes that the sectors with the highest weight in broker-recommended stocks for May were electronics, food and beverage, automotive, and pharmaceuticals, with electronics having the highest weight at 10.3%[3][14][17] - The report provides a performance review of broker-recommended stocks for April, showing an overall return of -1.0% for the month and a year-to-date return of 3.7%, with new stocks outperforming repeated stocks[4][19][22] - The report introduces the "Kaiyuan Quantitative Preferred Stock Portfolio," which had a return of -5.1% in April and a year-to-date return of 7.6%, outperforming the CSI 500 index by 9.2%[5][24][27] - The report lists the top-performing stocks for April, with Xianda Co., Wancheng Group, and Minshida leading the monthly returns at 64.3%, 62.9%, and 49.5%, respectively[4][22][23] Quantitative Models and Construction Methods 1. Model Name: Kaiyuan Quantitative Preferred Stock Portfolio - Construction Idea: The model selects the top 30 new stocks with the highest performance surprise factor (SUE factor) and weights them according to the number of broker recommendations[24] - Construction Process: - Select new stocks as samples - Choose the top 30 stocks with the highest SUE factor - Weight the stocks based on the number of broker recommendations[24] - Evaluation: The model shows superior stock-picking ability, especially in new stocks with high performance surprises[24] Model Backtest Results 1. Kaiyuan Quantitative Preferred Stock Portfolio - April Return: -5.1% - 2025 YTD Return: 7.6% - Annualized Return: 20.0% - Annualized Volatility: 25.5% - Return-Volatility Ratio: 0.78 - Maximum Drawdown: 24.6%[27] 2. All Broker-Recommended Stocks - April Return: -1.0% - 2025 YTD Return: 3.7% - Annualized Return: 10.8% - Annualized Volatility: 23.6% - Return-Volatility Ratio: 0.46 - Maximum Drawdown: 42.6%[22] 3. New Broker-Recommended Stocks - April Return: -0.9% - 2025 YTD Return: 7.2% - Annualized Return: 13.7% - Annualized Volatility: 24.4% - Return-Volatility Ratio: 0.56 - Maximum Drawdown: 38.5%[22] 4. Repeated Broker-Recommended Stocks - April Return: -1.1% - 2025 YTD Return: 1.1% - Annualized Return: 8.4% - Annualized Volatility: 23.6% - Return-Volatility Ratio: 0.36 - Maximum Drawdown: 45.0%[22] 5. CSI 300 Index - April Return: -3.0% - 2025 YTD Return: -4.2% - Annualized Return: 1.3% - Annualized Volatility: 21.5% - Return-Volatility Ratio: 0.06 - Maximum Drawdown: 40.6%[22] 6. CSI 500 Index - April Return: -3.7% - 2025 YTD Return: -1.6% - Annualized Return: -1.3% - Annualized Volatility: 23.9% - Return-Volatility Ratio: -0.05 - Maximum Drawdown: 37.5%[22]