2025 年 07 月 01 日 金融工程研究团队 魏建榕（首席分析师） 证书编号：S0790519120001 张 翔（分析师） 证书编号：S0790520110001 傅开波（分析师） 证书编号：S0790520090003 高 鹏（分析师） 证书编号：S0790520090002 苏俊豪（分析师） 证书编号：S0790522020001 胡亮勇（分析师） 证书编号：S0790522030001 王志豪（分析师） 证书编号：S0790522070003 券商金股解析月报（2025 年 7 月） 魏建榕（分析师） 高鹏（分析师） weijianrong@kysec.cn 证书编号：S0790519120001 盛少成（分析师） 证书编号：S0790523060003 苏 良（分析师） 证书编号：S0790523060004 何申昊（分析师） 证书编号：S0790524070009 蒋 韬（研究员） 证书编号：S0790123070037 相关研究报告 ——金融工程定期 《开源量化评论（23）-"金股+"组 合的量化方案》-2021.4.26 《开源量化评论（32）-券商金股的内 部收益结构》-2021.8. ...

Core Insights - Nearly 90% of brokerage gold stock portfolios achieved positive returns in the first half of the year, with Northeast Securities leading at a 45.45% return [2][6] - The July gold stock list shows a strong representation from the electronics, pharmaceutical, and machinery sectors, with significant contributions from power equipment and non-bank financials [3][9] - Brokerages are optimistic about the market's potential to break through previous highs, particularly focusing on sectors like technology and brokerage firms for investment [4][12] Performance Summary - In June, the top-performing gold stock was Giant Network (002558.SZ) with a 63.09% monthly increase, driven by strong data from its new game [5] - Other notable performers included Shenghong Technology (300476.SZ) with a 55.39% increase and Inner Mongolia First Machinery (600967.SH) with a 54.80% increase [6] - The Shanghai Composite Index rose 2.76% in the first half of the year, while the North Star 50 Index surged nearly 40% [6] Brokerage Rankings - Northeast Securities topped the gold stock portfolio rankings with a 45.45% return, followed by Dongxing Securities at 37% and Huaxi Securities at 29.25% [6] - Five brokerages reported negative returns for their gold stock portfolios, including Changcheng Securities and Zhongyin Securities [7] Sector Focus - The latest gold stock recommendations highlight a concentration in electronics, pharmaceuticals, and machinery, with multiple brokerages recommending stocks like Pop Mart (09992.HK) and Zhongxin Securities (600030.SH) [9][10] - Other stocks receiving multiple recommendations include Muyuan Foods (002714.SZ), noted for its low costs and profitability in the slaughtering business [11] Market Outlook - Analysts suggest that the market may continue to show resilience in July, with potential breakthroughs depending on structural policy and market conditions [14][15] - The consensus among brokerages is that the Shanghai Composite Index has a significant chance of surpassing last year's highs, with a focus on technology and brokerage sectors for investment opportunities [12][15]

Core Viewpoint - The article discusses potential investment opportunities in June, focusing on the performance of brokerage "gold stocks" across various industries, valuations, earnings, and institutional holdings, providing insights for investors [1]. Group 1: Performance of Gold Stocks - In May, 31 brokerage gold stock combinations achieved positive returns, with approximately two-thirds of them gaining, led by Guoyuan Securities with over 6% monthly return, primarily due to the strong performance of stocks like Kexing Pharmaceutical and Xinyisheng [2]. - The top ten performing gold stocks in May were dominated by the biopharmaceutical sector, with stocks like Yaoshibang and Kexing Pharmaceutical seeing significant gains of 52% and over 40%, respectively [2][3]. Group 2: Market Outlook for June - Analysts from Zhongtai Securities believe the market has a solid bottom, with optimistic factors accumulating, while China’s stable economy and policy expectations may continue to favor Chinese assets [2]. - China Galaxy Securities anticipates that multiple factors will enhance market risk appetite, although short-term disturbances may increase market volatility [2]. Group 3: Industry Focus - The most recommended sectors for June include biopharmaceuticals, electronics, and machinery, with 31, 27, and 22 gold stocks respectively, indicating a rising interest in the biopharmaceutical sector [6][8]. - The biopharmaceutical industry is noted to be undervalued despite its strong performance in May, with many institutions believing it still has room for growth [6][7]. Group 4: Institutional Holdings - Among the 296 gold stocks, the top three with increased institutional holdings are Xintian Green Energy, Yongxing Special Materials, and Xiangxia Precision, indicating strong institutional interest [17]. - Xintian Green Energy has a high institutional holding ratio of 88.84%, reflecting significant confidence from institutional investors [17]. Group 5: Valuation Insights - Out of the 296 gold stocks, 20 are considered undervalued, with three from the biopharmaceutical sector, suggesting potential investment opportunities in these stocks [14][15]. - Huadong Medicine is highlighted as a leading undervalued stock with a price-to-earnings ratio of 22, indicating a favorable valuation compared to historical levels [15][16].

Core Viewpoint - The Hong Kong stock market has gained significant attention this year, with notable stocks such as Pop Mart, Mixue Ice Cream, and Laopu Gold reaching new highs as of June 4 [1] Group 1: Stock Performance - The stock prices of Pop Mart, Mixue Ice Cream, and Laopu Gold have all surged, achieving record highs in 2023 [1] - Tencent Holdings and Smoore International are among the popular Hong Kong stocks recommended by multiple brokerages [2][3] Group 2: Broker Recommendations - The number of Hong Kong stocks included in the broker's "golden stock" combinations has significantly increased compared to previous periods [3] - Tencent Holdings received recommendations from four brokerages: Huaxi Securities, Southwest Securities, Yongxing Securities, and Tianfeng Securities [3] - Xiaomi Group-W and Smoore International also received multiple recommendations from various brokerages [3][4] Group 3: Industry Recommendations - The pharmaceutical and biotechnology sector has reclaimed the top position in industry recommendation rankings after three years, with a recommendation rate of 10.2% [5] - The electronics and food and beverage sectors follow in second and third place, with recommendation rates of 9.3% and 6.58%, respectively [5] Group 4: Broker Performance - In May, 31 out of 46 brokerages reported positive returns from their golden stock combinations, with Guoyuan Securities leading with a monthly return of over 6% [6][7] - The top three performing brokerages in terms of golden stock returns for May were Guoyuan Securities, Caitong Securities, and China Galaxy Securities [6] Group 5: Market Outlook - The market outlook for June suggests a focus on large-cap growth stocks, with expectations of continued improvement in returns and win rates [7] - Historical trends indicate that large-cap growth stocks tend to outperform in June, while sectors like household appliances and power equipment remain undervalued [7]

Group 1 - The core viewpoint of the article emphasizes the performance and characteristics of the "brokerage golden stocks" pool, highlighting its ability to track the performance of mixed equity funds and the strong selection capabilities of industry analysts [2][9][32] - In May 2025, the top-performing stocks in the brokerage golden stock pool included Mankalon, Chaohongji, and Kexing Pharmaceutical, with monthly returns of 10.78%, 7.30%, and 5.70% respectively [3][8] - Year-to-date, Northeast Securities, Huaxin Securities, and Dongxing Securities ranked highest in returns, achieving 45.28%, 40.52%, and 39.15% respectively, while the mixed equity fund index returned 3.37% and the CSI 300 index returned -2.41% [7][10] Group 2 - As of June 3, 2025, 43 brokerages published golden stocks, resulting in a total of 286 unique A-shares after deduplication [19] - The current allocation of golden stocks is highest in the machinery (9.56%), pharmaceuticals (9.04%), electronics (8.01%), basic chemicals (7.75%), and food and beverage (6.46%) sectors [23] - The brokerage golden stock pool has a higher exposure to small-cap stocks this month, indicating a shift in investment style [19][23] Group 3 - The performance of the brokerage golden stock performance enhancement portfolio showed an absolute return of 0.99% for the month and 4.97% year-to-date, outperforming the mixed equity fund index by 1.61% [28][29] - The article highlights the strong alpha generation capability of the brokerage golden stocks, which can provide significant investment opportunities [32][33] - The article also discusses the interaction between brokerage analysts and public fund managers, indicating that stocks recommended by multiple analysts tend to receive higher market attention [9][21]

2025 年 06 月 03 日 金融工程研究团队 魏建榕（首席分析师） 证书编号：S0790519120001 张 翔（分析师） 证书编号：S0790520110001 傅开波（分析师） 证书编号：S0790520090003 高 鹏（分析师） 证书编号：S0790520090002 苏俊豪（分析师） 证书编号：S0790522020001 胡亮勇（分析师） 证书编号：S0790522030001 王志豪（分析师） 证书编号：S0790522070003 盛少成（分析师） 证书编号：S0790523060003 苏 良（分析师） 证书编号：S0790523060004 何申昊（分析师） 证书编号：S0790524070009 陈 威（研究员） 证书编号：S0790123070027 蒋 韬（研究员） 证书编号：S0790123070037 相关研究报告 《开源量化评论（23）-"金股+"组 合的量化方案》-2021.4.26 《开源量化评论（32）-券商金股的内 部收益结构》-2021.8.29 魏建榕（分析师） 高鹏（分析师） gaopeng@kysec.cn 证书编号：S0790520090002 6 ...

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]

- The report discusses the characteristics of broker-recommended stocks for May, highlighting that Gree Electric Appliances, Kingnet Network, Hygon Information, Zijin Mining, and Proya were among the most frequently recommended stocks[2][13][14] - The report notes that the sectors with the highest weight in broker-recommended stocks for May were electronics, food and beverage, automotive, and pharmaceuticals, with electronics having the highest weight at 10.3%[3][14][17] - The report provides a performance review of broker-recommended stocks for April, showing an overall return of -1.0% for the month and a year-to-date return of 3.7%, with new stocks outperforming repeated stocks[4][19][22] - The report introduces the "Kaiyuan Quantitative Preferred Stock Portfolio," which had a return of -5.1% in April and a year-to-date return of 7.6%, outperforming the CSI 500 index by 9.2%[5][24][27] - The report lists the top-performing stocks for April, with Xianda Co., Wancheng Group, and Minshida leading the monthly returns at 64.3%, 62.9%, and 49.5%, respectively[4][22][23] Quantitative Models and Construction Methods 1. **Model Name: Kaiyuan Quantitative Preferred Stock Portfolio** - **Construction Idea**: The model selects the top 30 new stocks with the highest performance surprise factor (SUE factor) and weights them according to the number of broker recommendations[24] - **Construction Process**: - Select new stocks as samples - Choose the top 30 stocks with the highest SUE factor - Weight the stocks based on the number of broker recommendations[24] - **Evaluation**: The model shows superior stock-picking ability, especially in new stocks with high performance surprises[24] Model Backtest Results 1. **Kaiyuan Quantitative Preferred Stock Portfolio** - **April Return**: -5.1% - **2025 YTD Return**: 7.6% - **Annualized Return**: 20.0% - **Annualized Volatility**: 25.5% - **Return-Volatility Ratio**: 0.78 - **Maximum Drawdown**: 24.6%[27] 2. **All Broker-Recommended Stocks** - **April Return**: -1.0% - **2025 YTD Return**: 3.7% - **Annualized Return**: 10.8% - **Annualized Volatility**: 23.6% - **Return-Volatility Ratio**: 0.46 - **Maximum Drawdown**: 42.6%[22] 3. **New Broker-Recommended Stocks** - **April Return**: -0.9% - **2025 YTD Return**: 7.2% - **Annualized Return**: 13.7% - **Annualized Volatility**: 24.4% - **Return-Volatility Ratio**: 0.56 - **Maximum Drawdown**: 38.5%[22] 4. **Repeated Broker-Recommended Stocks** - **April Return**: -1.1% - **2025 YTD Return**: 1.1% - **Annualized Return**: 8.4% - **Annualized Volatility**: 23.6% - **Return-Volatility Ratio**: 0.36 - **Maximum Drawdown**: 45.0%[22] 5. **CSI 300 Index** - **April Return**: -3.0% - **2025 YTD Return**: -4.2% - **Annualized Return**: 1.3% - **Annualized Volatility**: 21.5% - **Return-Volatility Ratio**: 0.06 - **Maximum Drawdown**: 40.6%[22] 6. **CSI 500 Index** - **April Return**: -3.7% - **2025 YTD Return**: -1.6% - **Annualized Return**: -1.3% - **Annualized Volatility**: 23.9% - **Return-Volatility Ratio**: -0.05 - **Maximum Drawdown**: 37.5%[22]

一、券商金股股票池上月回顾 2025年4月，万辰集团、先达股份、民士达等券商金股股票的月度上涨幅度靠前。 2025年4月，东北证券、华西证券、华源证券收益排名前三，月度收益分别为 17.31%、13.41%、12.75%，同期偏股混合型基金指数收益-2.26%，沪深300指数 收益-3.00%。 2025年以来，东北证券、华鑫证券、国联证券收益排名前三，年度收益分别为 44.56%、42.58%、16.68%，同期偏股混合型基金指数收益2.28%，沪深300指数收 益-4.18%。 二、券商金股股票池中选股因子表现 最近一个月，总市值、SUE、单季度净利润增速表现较好，EPTTM、波动率、预 期股息率表现较差； 今年以来，总市值、SUE、剥离涨停动量表现较好，预期股息率、EPTTM、波动 率表现较差。 三、券商金股股票池本月特征 截至2025年5月6日，共有41家券商发布本月金股。在对券商金股股票池进行去重 后，总共有291只A股。 从 绝 对 占 比 来 看 ， 本 期 券 商 金 股 在 电 子 (10.00%) 、 医 药 (8.25%) 、 基 础 化 工 (8.25%)、食品饮料(7.25%)、机械 ...

Group 1 - The core viewpoint of the articles highlights the increasing quality of stock recommendations from brokerages, with a notable rise in the number of recommended stocks and their performance in March [1][5] - In March, brokerages recommended a total of 266 stocks, with 130 stocks (48.87%) experiencing price increases, and 5 stocks achieving over 30% growth [2][3] - The most recommended stock in April so far is Qingdao Beer, receiving recommendations from 9 brokerages, followed by Muyuan Foods, Gree Electric, and BYD, each receiving 5 recommendations [5] Group 2 - The highest performing stock in March was Shenghong Technology, which rose by 58.69%, followed by Keri International with a 42.45% increase [2] - The distribution of recommended stocks by industry shows that the industrial and information technology sector had the highest number of recommendations, with 59 stocks, followed by materials with 41 stocks [3] - The brokerage stock index reflects the research capabilities of brokerages, with the "Zhongshan Securities Gold Stock Index" leading with a 10.26% increase in March [4] Group 3 - Analysts suggest that April is a critical month for stock price and performance correlation due to the annual and quarterly report disclosures, with a focus on high dividend and value stocks [5][6] - Key investment themes for April include stable banks and insurance, consumer sectors benefiting from policy support, and non-ferrous metals [6]