金融工程定期：券商金股解析月报（2025年10月）-20251009

Quantitative Models and Construction Methods 1. Model Name: Kaiyuan Quantitative Engineering Preferred Golden Stock Portfolio Model Construction Idea: The model is based on the observation that newly introduced golden stocks outperform repeated golden stocks. It incorporates the earnings surprise factor (SUE factor) to select stocks with superior performance potential[23] Model Construction Process: - The sample consists of newly introduced golden stocks - Select the top 30 golden stocks with the highest earnings surprise (SUE factor) - Weight the selected stocks based on the number of recommendations by securities firms[23] Model Evaluation: The model demonstrates superior performance compared to the overall golden stock portfolio, with higher annualized returns and a better return-to-volatility ratio[23] --- Model Backtesting Results 1. Kaiyuan Quantitative Engineering Preferred Golden Stock Portfolio - September return: 3.4% - 2025 YTD return: 42.3% - Annualized return: 22.6% - Annualized volatility: 25.5% - Return-to-volatility ratio: 0.89 - Maximum drawdown: 24.6%[26][27] 2. Overall Golden Stock Portfolio - September return: 3.1% - 2025 YTD return: 39.2% - Annualized return: 14.1% - Annualized volatility: 23.6% - Return-to-volatility ratio: 0.60 - Maximum drawdown: 42.6%[21][26] 3. Newly Introduced Golden Stock Portfolio - September return: 2.2% - 2025 YTD return: 41.6% - Annualized return: 16.7% - Annualized volatility: 24.2% - Return-to-volatility ratio: 0.69 - Maximum drawdown: 38.5%[21][18] 4. Repeated Golden Stock Portfolio - September return: 3.9% - 2025 YTD return: 38.0% - Annualized return: 11.9% - Annualized volatility: 23.8% - Return-to-volatility ratio: 0.50 - Maximum drawdown: 45.0%[21][18] 5. Benchmark Indices - CSI 300 Index: - September return: 3.2% - 2025 YTD return: 17.9% - Annualized return: 3.7% - Annualized volatility: 21.3% - Return-to-volatility ratio: 0.17 - Maximum drawdown: 40.6%[21][26] - CSI 500 Index: - September return: 5.2% - 2025 YTD return: 29.5% - Annualized return: 2.0% - Annualized volatility: 23.9% - Return-to-volatility ratio: 0.08 - Maximum drawdown: 37.5%[21][26] --- Quantitative Factors and Construction Methods 1. Factor Name: Earnings Surprise Factor (SUE Factor) Factor Construction Idea: The factor identifies stocks with earnings that significantly exceed market expectations, which are likely to outperform in the short term[23] Factor Construction Process: - Calculate the earnings surprise for each stock as the difference between actual earnings and consensus estimates - Rank stocks based on their earnings surprise values - Select the top-performing stocks with the highest earnings surprise values for inclusion in the portfolio[23] Factor Evaluation: The SUE factor demonstrates strong stock selection ability, particularly within the newly introduced golden stock portfolio[23] --- Factor Backtesting Results 1. SUE Factor - Demonstrated superior stock selection ability in the newly introduced golden stock portfolio, contributing to its outperformance over repeated golden stocks[23]