券商金股解析月报（2025年6月）-20250603

Quantitative Models and Construction Methods - Model Name: "Preferred Gold Stock Portfolio" Model Construction Idea: The model leverages the superior performance of newly introduced gold stocks and incorporates the "Surprise Earnings Factor" (SUE factor) to select stocks with outstanding earnings surprises [26] Model Construction Process: 1. Use newly introduced gold stocks as the sample pool 2. Select the top 30 stocks with the highest earnings surprises based on the SUE factor 3. Weight the portfolio based on the number of recommendations from brokers Model Evaluation: The model demonstrates better performance compared to the overall gold stock portfolio, with higher annualized returns and lower maximum drawdowns [26][28] Model Backtesting Results - Preferred Gold Stock Portfolio: - May Return: -1.1% - 2025 YTD Return: 6.5% - Annualized Return: 19.7% - Annualized Volatility: 25.4% - Return-to-Volatility Ratio: 0.78 - Maximum Drawdown: 24.6% [28][29] - Overall Gold Stock Portfolio: - May Return: 0.9% - 2025 YTD Return: 5.9% - Annualized Return: 11.0% - Annualized Volatility: 23.5% - Return-to-Volatility Ratio: 0.47 - Maximum Drawdown: 42.6% [24][28] Quantitative Factors and Construction Methods - Factor Name: Surprise Earnings Factor (SUE Factor) Factor Construction Idea: The factor identifies stocks with earnings significantly exceeding market expectations, which are likely to outperform [26] Factor Construction Process: 1. Calculate the earnings surprise for each stock as the difference between actual earnings and consensus estimates 2. Rank stocks based on the magnitude of earnings surprises 3. Select the top-performing stocks with the highest earnings surprises [26] Factor Evaluation: The SUE factor shows strong stock selection capabilities, particularly within newly introduced gold stocks [26] Factor Backtesting Results - SUE Factor: Integrated into the "Preferred Gold Stock Portfolio," contributing to its superior performance metrics compared to other portfolios [26][28]