券商金股2025年12月投资月报：金融工程月报-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's golden stock pool to outperform the benchmark index, specifically the actively managed equity fund index. It leverages a multi-factor approach and portfolio optimization techniques to control deviations in individual stocks and styles while aligning with the industry distribution of public funds[37][42]. Model Construction Process: 1. Use the securities firm's golden stock pool as the stock selection space and constraint benchmark. 2. Apply a multi-factor model to further refine the stock selection within the pool. 3. Optimize the portfolio to control deviations in individual stocks and styles relative to the golden stock pool. 4. Use the industry distribution of all public funds as the industry allocation benchmark. 5. Adjust the portfolio at the beginning of each month based on the latest recommendations and market data[37][42]. Model Evaluation: The model demonstrates strong alpha generation potential and consistently outperforms the benchmark index, reflecting the research strength of securities firms[42]. Model Backtesting Results - Securities Firm Golden Stock Performance Enhancement Portfolio: - Absolute Return (Monthly): -1.06% (20251103-20251128)[41] - Excess Return (Monthly): +1.39% relative to the actively managed equity fund index[41] - Absolute Return (Year-to-Date): +33.65% (20250102-20251128)[41] - Excess Return (Year-to-Date): +4.42% relative to the actively managed equity fund index[41] - Ranking in Actively Managed Equity Funds (Year-to-Date): 35.37th percentile (1227/3469)[41] - Annualized Return (2018-2025): +19.34%[43] - Annualized Excess Return (2018-2025): +14.38% relative to the actively managed equity fund index[43] - Performance Ranking (2018-2025): Top 30% of actively managed 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 the size effect in stock returns[26][27]. Factor Construction Process: Calculate the total market capitalization of each stock in the golden stock pool. Group stocks into quintiles based on their market capitalization and calculate the long-short portfolio returns for each group[26][27]. Factor Evaluation: Demonstrates strong performance in both the recent month and year-to-date periods[26][27]. - Factor Name: Single-Quarter Revenue Growth Factor Construction Idea: Measures the growth in revenue over a single quarter, capturing the growth potential of a company[26][27]. Factor Construction Process: Compute the quarter-over-quarter revenue growth for each stock. Group stocks into quintiles based on their growth rates and calculate the long-short portfolio returns for each group[26][27]. Factor Evaluation: Exhibits strong performance year-to-date[26][27]. - Factor Name: SUR (Surprise) Factor Construction Idea: Captures the degree to which a company's earnings or revenue exceed market expectations[26][27]. Factor Construction Process: Calculate the difference between actual and expected earnings or revenue for each stock. Group stocks into quintiles based on their surprise levels and calculate the long-short portfolio returns for each group[26][27]. Factor Evaluation: Performs well in both the recent month and year-to-date periods[26][27]. - Factor Name: EPTTM (Earnings to Price Trailing Twelve Months) Factor Construction Idea: A valuation factor that measures the earnings yield of a stock[26][27]. Factor Construction Process: Compute the ratio of trailing twelve-month earnings to the current stock price for each stock. Group stocks into quintiles based on their EPTTM values and calculate the long-short portfolio returns for each group[26][27]. Factor Evaluation: Underperforms year-to-date[26][27]. - Factor Name: Expected Dividend Yield Factor Construction Idea: Reflects the expected return from dividends, often used as a value factor[26][27]. Factor Construction Process: Calculate the expected dividend yield for each stock. Group stocks into quintiles based on their yields and calculate the long-short portfolio returns for each group[26][27]. Factor Evaluation: Underperforms year-to-date[26][27]. - Factor Name: BP (Book-to-Price Ratio) Factor Construction Idea: A valuation factor that measures the book value relative to the stock price[26][27]. Factor Construction Process: Compute the ratio of book value to stock price for each stock. Group stocks into quintiles based on their BP values and calculate the long-short portfolio returns for each group[26][27]. Factor Evaluation: Underperforms year-to-date[26][27]. Factor Backtesting Results - Total Market Capitalization: Strong performance in the recent month and year-to-date[26][27] - Single-Quarter Revenue Growth: Strong performance year-to-date[26][27] - SUR (Surprise): Strong performance in the recent month and year-to-date[26][27] - EPTTM (Earnings to Price Trailing Twelve Months): 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]