金融工程月报：券商金股2026年1月投资月报-20260105

• The report highlights that in December 2025, the top-performing factors in the broker's gold stock pool were single-quarter ROE, net analyst upgrades, and net operating cash flow, while volatility, single-quarter revenue growth, and intraday returns performed poorly[3][27] - Throughout 2025, the best-performing factors were total market capitalization, single-quarter revenue growth, and single-quarter ROE, while EPTTM, expected dividend yield, and volatility performed poorly[3][27] - The broker's gold stock performance enhancement portfolio achieved an absolute return of 5.24% in December 2025, with an excess return of 2.18% relative to the mixed equity fund index[5][41] - For the year 2025, the broker's gold stock performance enhancement portfolio achieved an absolute return of 40.66%, with an excess return of 7.47% relative to the mixed equity fund index, ranking in the 32.60th percentile among active equity funds[5][41] - The construction of the broker's gold stock performance enhancement portfolio involves selecting stocks from the broker's gold stock pool, optimizing the portfolio to control deviations in individual stocks and styles, and using the industry distribution of all public funds as the industry allocation benchmark[42] - The historical performance of the broker's gold stock performance enhancement portfolio from 2018 to 2025 shows an annualized return of 21.71%, with an annualized excess return of 14.18% relative to the mixed equity fund index, consistently ranking in the top 30% of active equity funds each year[43][46]