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]

进入4月份财报季交易时间，各大券商更青睐A股哪些标的？ 整体来看，行业方面，电子是4月金股中权重占比最高的行业，食品饮料、医药、有色金属等同样权重 较大。权重增加最多的行业则是医药。 行业方面，国信证券研报指出，在对券商金股股票池进行去重后，从绝对占比来看，券商4月金股在电 子、机械、医药、有色金属、基础化工等行业配置较高。 开源证券研报统计结果也显示，4月券商金股权重最靠前的行业为电子，且占比高达10.8%；食品饮料 紧随其后，占比为7.1%；有色金属、医药生物位居其次，占比均为6.5%。 行业的权重增减方面，多家券商研报数据均显示，医药生物是4月券商金股中权重增加最为明显的板 块。 开源证券数据显示，相较3月份，4月券商金股增加最多的行业分别为医药生物、交通运输、建筑材料， 增幅分别为3.5%、1.9%和1.8%。 国信证券研报数据指出，从相对变化来看，券商4月金股在医药、交通运输、有色金属等行业的增配较 多。 具体到个股方面，开源证券研报数据显示，根据全市场39家券商发布的金股去重统计后，青岛啤酒 （600600）热度第一，合计被各家券商4月金股推荐的次数最多。 "目前，市场上大部分的券商，在每月初都会 ...

Quantitative Models and Construction - **Model Name**: Broker Gold Stock Performance Enhanced Portfolio **Model Construction Idea**: The model aims to optimize the broker gold stock pool by leveraging multi-factor selection and portfolio optimization techniques to outperform the benchmark index, specifically the actively managed equity fund index[12][37][41] **Model Construction Process**: 1. Use the broker gold stock pool as the stock selection universe and constraint benchmark[37][41] 2. Apply multi-factor selection to identify stocks with high alpha potential[12][37] 3. Optimize the portfolio to control deviations in individual stocks and style factors relative to the broker gold stock pool[41] 4. Align industry allocation with the overall distribution of public equity funds[41] **Model Evaluation**: The model demonstrates stable performance, consistently outperforming the actively managed equity fund index annually from 2018 to 2022, ranking in the top 30% of active equity funds each year[12][42] Quantitative Factors and Construction - **Factor Name**: Single Quarter ROE **Factor Construction Idea**: Measures profitability and efficiency of equity utilization within a single quarter[3][26] **Factor Construction Process**: 1. Calculate the return on equity (ROE) for the latest quarter using the formula: $ ROE = \frac{Net\ Income}{Shareholders'\ Equity} $ 2. Rank stocks based on ROE values and group them into quintiles for analysis[26] **Factor Evaluation**: Demonstrates strong performance in the most recent month[3][26] - **Factor Name**: Single Quarter Net Profit Growth Rate **Factor Construction Idea**: Captures the growth momentum of companies by analyzing quarterly net profit changes[3][26] **Factor Construction Process**: 1. Compute the growth rate using the formula: $ Growth\ Rate = \frac{Net\ Profit_{Current\ Quarter} - Net\ Profit_{Previous\ Quarter}}{Net\ Profit_{Previous\ Quarter}} $ 2. Rank stocks based on growth rates and group them into quintiles for analysis[26] **Factor Evaluation**: Exhibits strong performance in the most recent month[3][26] - **Factor Name**: Analyst Net Upgrade Magnitude **Factor Construction Idea**: Reflects market sentiment by tracking the magnitude of analyst upgrades[3][26] **Factor Construction Process**: 1. Aggregate analyst upgrades for each stock over a defined period 2. Normalize the upgrade magnitude relative to the total number of analysts covering the stock 3. Rank stocks based on normalized upgrade magnitude and group them into quintiles for analysis[26] **Factor Evaluation**: Performs well in the most recent month[3][26] - **Factor Name**: Total Market Capitalization **Factor Construction Idea**: Represents the size of a company, often used as a proxy for stability and liquidity[3][26] **Factor Construction Process**: 1. Calculate market capitalization using the formula: $ Market\ Cap = Share\ Price \times Outstanding\ Shares $ 2. Rank stocks based on market capitalization and group them into quintiles for analysis[26] **Factor Evaluation**: Shows strong performance year-to-date[3][26] - **Factor Name**: Operating Cash Flow **Factor Construction Idea**: Measures the cash generated from core business operations, indicating financial health[3][26] **Factor Construction Process**: 1. Extract operating cash flow data from financial statements 2. Rank stocks based on operating cash flow and group them into quintiles for analysis[26] **Factor Evaluation**: Performs well year-to-date[3][26] - **Factor Name**: Standardized Unexpected Earnings (SUE) **Factor Construction Idea**: Quantifies earnings surprises relative to market expectations[3][26] **Factor Construction Process**: 1. Calculate SUE using the formula: $ SUE = \frac{Actual\ Earnings - Expected\ Earnings}{Standard\ Deviation\ of\ Earnings\ Forecasts} $ 2. Rank stocks based on SUE values and group them into quintiles for analysis[26] **Factor Evaluation**: Demonstrates strong performance year-to-date[3][26] Backtesting Results Model Backtesting Results - **Broker Gold Stock Performance Enhanced Portfolio**: - Absolute return (March 2025): 3.69%[5][40] - Excess return relative to actively managed equity fund index (March 2025): 3.39%[5][40] - Absolute return (Year-to-date 2025): 7.96%[5][40] - Excess return relative to actively managed equity fund index (Year-to-date 2025): 3.31%[5][40] - Active equity fund ranking (Year-to-date 2025): 21.13% percentile (733/3469)[5][40] Factor Backtesting Results - **Single Quarter ROE**: Positive performance in the most recent month[3][26] - **Single Quarter Net Profit Growth Rate**: Positive performance in the most recent month[3][26] - **Analyst Net Upgrade Magnitude**: Positive performance in the most recent month[3][26] - **Total Market Capitalization**: Positive performance year-to-date[3][26] - **Operating Cash Flow**: Positive performance year-to-date[3][26] - **SUE**: Positive performance year-to-date[3][26]

一、券商金股股票池上月回顾 2025年3月，胜宏科技、科锐国际、芯原股份等券商金股股票的月度上涨幅度靠 前。 2025年3月，长江证券、国盛证券、招商证券收益排名前三，月度收益分别为 7.59%、7.41%、5.94%，同期偏股混合型基金指数收益0.20%，沪深300指数收 益-0.07%。 2025年以来，华鑫证券、东北证券、国联证券收益排名前三，年度收益分别为 33.12%、23.23%、16.52%，同期偏股混合型基金指数收益4.65%，沪深300指数收 益-1.21%。 二、券商金股股票池中选股因子表现 最近一个月，单季度ROE、单季度净利润增速、分析师净上调幅度表现较好，盈 余公告后跳空超额、单季度营收增速、波动率表现较差； 今年以来，总市值、经营性现金净流量、SUE表现较好，分析师净上调比例、预 期股息率、波动率表现较差。 三、券商金股股票池本月特征 截至2025年4月1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259只A股。 从绝对占比来看，本期券商金股在电子(10.11%)、机械(7.98%)、医药(7.18%)、有 色金属(6.65%)、基础化工(6.12%)行业 ...