KAIYUAN SECURITIES·2025-08-01 05:45Quantitative Models and Construction - Model Name: "Kaiyuan JinGong Optimal Stock Portfolio" Model Construction Idea: This model is based on the observation that newly recommended stocks ("newly entered stocks") outperform repeatedly recommended stocks ("repeated stocks"). It incorporates the "Surprise in Earnings" (SUE) factor to select stocks with strong earnings surprises, aiming to enhance portfolio returns[23][25]. Model Construction Process: 1. Use newly recommended stocks as the sample universe. 2. Select the top 30 stocks with the highest SUE factor values. 3. Weight the portfolio based on the number of recommendations by brokers. Model Evaluation: The model demonstrates superior performance compared to the overall stock portfolio and benchmark indices, indicating its effectiveness in capturing excess returns[23][25]. Model Backtesting Results - Kaiyuan JinGong Optimal Stock Portfolio: - July Return: 5.8%[25] - 2025 YTD Return: 18.0%[25] - Annualized Return: 20.8%[25] - Annualized Volatility: 25.2%[25] - Sharpe Ratio (Return-to-Volatility): 0.82[25] - Maximum Drawdown: 24.6%[25] - Overall Stock Portfolio: - July Return: 7.7%[21] - 2025 YTD Return: 18.5%[21] - Annualized Return: 12.2%[21] - Annualized Volatility: 23.4%[21] - Sharpe Ratio (Return-to-Volatility): 0.52[21] - Maximum Drawdown: 42.6%[21] - Benchmark Indices: - CSI 300: - July Return: 3.5%[21] - 2025 YTD Return: 3.6%[21] - Annualized Return: 2.4%[21] - Annualized Volatility: 21.2%[21] - Sharpe Ratio (Return-to-Volatility): 0.11[21] - Maximum Drawdown: 40.6%[21] - CSI 500: - July Return: 5.3%[21] - 2025 YTD Return: 8.7%[21] - Annualized Return: 0.1%[21] - Annualized Volatility: 23.7%[21] - Sharpe Ratio (Return-to-Volatility): 0.01[21] - Maximum Drawdown: 37.5%[21] Quantitative Factors and Construction - Factor Name: Surprise in Earnings (SUE) Factor Factor Construction Idea: The SUE factor measures the degree of earnings surprise, which is a key indicator of stock performance. Stocks with higher earnings surprises are expected to outperform[23]. Factor Construction Process: 1. Calculate the earnings surprise for each stock based on the difference between actual and expected earnings. 2. Rank stocks by their SUE values. 3. Select the top stocks with the highest SUE values for portfolio inclusion[23]. Factor Evaluation: The SUE factor demonstrates strong stock selection ability, particularly within the newly recommended stock universe, contributing to the superior performance of the optimal stock portfolio[23]. Factor Backtesting Results - SUE Factor: - Integrated into the "Kaiyuan JinGong Optimal Stock Portfolio," contributing to its superior performance metrics as detailed above[23][25].