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 ...