金融工程月报：券商金股 2025 年 12 月投资月报-20251201

Quantitative Models and Construction Methods - Model Name: Securities Firm Golden Stock Performance Enhancement Portfolio Model Construction Idea: The model aims to optimize the selection of stocks from the securities firm golden stock pool, using a multi-factor approach to achieve stable outperformance relative to the benchmark index (Active Equity Hybrid Fund Index) [37][42] Model Construction Process: 1. The securities firm golden stock pool is used as the stock selection space and constraint benchmark [42] 2. The portfolio optimization method is applied to control deviations in individual stocks and styles between the portfolio and the golden stock pool [42] 3. The industry allocation is based on the distribution of all public funds [42] 4. The portfolio's benchmark is the Active Equity Hybrid Fund Index, and the portfolio's position last month was 90.48% [37] Model Evaluation: The model demonstrates strong alpha generation potential and stable performance, consistently outperforming the benchmark index over multiple years [42][43] Model Backtesting Results - Securities Firm Golden Stock Performance Enhancement Portfolio: - Absolute Return (Monthly): -1.06% [41] - Excess Return (Monthly): 1.39% relative to the Active Equity Hybrid Fund Index [41] - Absolute Return (Year-to-Date): 33.65% [41] - Excess Return (Year-to-Date): 4.42% relative to the Active Equity Hybrid Fund Index [41] - Ranking in Active Equity Funds (Year-to-Date): 35.37% percentile (1227/3469) [41] - Annualized Return (2018-2025): 19.34% [43] - Annualized Excess Return (2018-2025): 14.38% relative to the Active Equity Hybrid Fund Index [43] - Performance Ranking (2018-2025): Top 30% of active equity funds every year [43] Quantitative Factors and Construction Methods - Factor Name: Total Market Capitalization Factor Construction Idea: Reflects the size of a company, often used to capture size-related effects in stock returns [26][27] Factor Evaluation: Demonstrated strong performance both in the past month and year-to-date [26][27] - Factor Name: Single-Quarter Surprise (SUR) Factor Construction Idea: Measures the degree of earnings surprise in a single quarter, capturing the market's reaction to unexpected earnings [26][27] Factor Evaluation: Performed well in both the past month and year-to-date [26][27] - Factor Name: Single-Quarter Revenue Growth Factor Construction Idea: Tracks the growth rate of revenue in a single quarter, reflecting a company's operational growth [26][27] Factor Evaluation: Strong performance year-to-date [26][27] - Factor Name: EPTTM (Earnings to Price Trailing Twelve Months) Factor Construction Idea: A valuation factor that measures earnings relative to price over the trailing twelve months [26][27] Factor Evaluation: Underperformed year-to-date [26][27] - Factor Name: Expected Dividend Yield Factor Construction Idea: Captures the expected dividend income relative to the stock price, often used as an income-focused valuation metric [26][27] Factor Evaluation: Underperformed year-to-date [26][27] - Factor Name: BP (Book-to-Price Ratio) Factor Construction Idea: A valuation factor that measures the book value of equity relative to the stock price [26][27] Factor Evaluation: Underperformed year-to-date [26][27] Factor Backtesting Results - Total Market Capitalization: Strong performance in both the past month and year-to-date [26][27] - Single-Quarter Surprise (SUR): Strong performance in both the past month and year-to-date [26][27] - Single-Quarter Revenue Growth: Strong performance year-to-date [26][27] - EPTTM: Weak performance year-to-date [26][27] - Expected Dividend Yield: Weak performance year-to-date [26][27] - BP (Book-to-Price Ratio): Weak performance year-to-date [26][27]