金融工程月报：券商金股 2025 年 11 月投资月报-20251103

Quantitative Models and Factor Construction Quantitative Models and Construction Methods 1. Model Name: Broker Gold Stock Performance Enhancement Portfolio - Model Construction Idea: The model aims to optimize the selection from the broker gold stock pool to outperform the benchmark index of equity-biased hybrid funds[12][39] - Model Construction Process: - The model uses the broker gold stock pool as the stock selection space and constraint benchmark - It employs portfolio optimization to control deviations in individual stocks and styles from the broker gold stock pool - The industry allocation is based on the industry distribution of all public funds - The portfolio is adjusted at the closing price on the first day of each month[12][39][42] - Model Evaluation: The model has shown stable performance historically, consistently outperforming the equity-biased hybrid fund index annually from 2018 to 2022[12][39][42] Model Backtest Results Broker Gold Stock Performance Enhancement Portfolio - Absolute Return (Monthly): -0.77% (20251009-20251031)[41] - Excess Return Relative to Equity-biased Hybrid Fund Index (Monthly): 1.37% (20251009-20251031)[41] - Absolute Return (Year-to-date): 35.08% (20250102-20251031)[41] - Excess Return Relative to Equity-biased Hybrid Fund Index (Year-to-date): 2.61% (20250102-20251031)[41] - Ranking in Active Equity Funds (Year-to-date): 40.13% percentile (412/3469)[41] Quantitative Factors and Construction Methods 1. Factor Name: Total Market Value - Factor Construction Idea: This factor measures the total market capitalization of a stock, which is often used to capture the size effect in stock returns[3][28] - Factor Construction Process: - The total market value is calculated as the product of the stock's current price and the total number of outstanding shares[3][28] - Factor Evaluation: The total market value factor has shown good performance in the recent month and year-to-date periods[3][28] 2. Factor Name: Single Quarter Revenue Growth Rate - Factor Construction Idea: This factor measures the growth rate of a company's revenue in a single quarter, indicating its short-term growth potential[3][28] - Factor Construction Process: - The single quarter revenue growth rate is calculated as the percentage change in revenue from the previous quarter to the current quarter[3][28] - Factor Evaluation: The single quarter revenue growth rate factor has shown good performance year-to-date[3][28] 3. Factor Name: Analyst Net Upward Revision - Factor Construction Idea: This factor measures the net number of upward revisions by analysts, reflecting positive changes in analyst sentiment[3][28] - Factor Construction Process: - The analyst net upward revision is calculated as the difference between the number of upward revisions and the number of downward revisions over a specific period[3][28] - Factor Evaluation: The analyst net upward revision factor has shown good performance year-to-date[3][28] Factor Backtest Results Total Market Value Factor - Recent Month Performance: Good[3][28] - Year-to-date Performance: Good[3][28] Single Quarter Revenue Growth Rate Factor - Recent Month Performance: Not specified - Year-to-date Performance: Good[3][28] Analyst Net Upward Revision Factor - Recent Month Performance: Not specified - Year-to-date Performance: Good[3][28]