KAIYUAN SECURITIES·2025-12-01 07:12Quantitative Models and Construction Methods - Model Name: "Kaiyuan Quantitative Engineering Preferred Gold Stock Portfolio" Model Construction Idea: The model is based on the observation that newly introduced stocks outperform repeated stocks. It incorporates the "SUE factor" (Surprise Earnings Factor), which demonstrates superior stock selection ability within newly introduced stocks[25] Model Construction Process: 1. Select the top 30 newly introduced stocks with the highest earnings surprise (SUE factor) 2. Weight the portfolio based on the number of recommendations by brokers 3. Construct the portfolio using these weighted stocks[25] Model Evaluation: The model demonstrates better performance compared to the overall gold stock portfolio, with higher annualized returns and lower maximum drawdowns[25][27] Model Backtesting Results - Kaiyuan Quantitative Engineering Preferred Gold Stock Portfolio: - November return: -0.2% - 2025 YTD return: 45.1% - Annualized return: 22.5% - Annualized volatility: 25.3% - Return-to-volatility ratio: 0.89 - Maximum drawdown: 24.6%[27][28] - Overall Gold Stock Portfolio: - November return: -3.4% - 2025 YTD return: 32.2% - Annualized return: 13.2% - Annualized volatility: 23.5% - Return-to-volatility ratio: 0.56 - Maximum drawdown: 42.6%[23][27] - CSI 300 Index: - November return: -2.5% - 2025 YTD return: 15.0% - Annualized return: 3.3% - Annualized volatility: 21.1% - Return-to-volatility ratio: 0.16 - Maximum drawdown: 40.6%[23][27] - CSI 500 Index: - November return: -4.1% - 2025 YTD return: 22.8% - Annualized return: 1.2% - Annualized volatility: 23.8% - Return-to-volatility ratio: 0.05 - Maximum drawdown: 37.5%[23][27] Quantitative Factors and Construction Methods - Factor Name: Surprise Earnings Factor (SUE Factor) Factor Construction Idea: The factor captures stocks with earnings that significantly exceed market expectations, which are likely to outperform in the short term[25] Factor Construction Process: 1. Calculate the earnings surprise for each stock as the difference between reported earnings and consensus estimates 2. Rank stocks based on their earnings surprise values 3. Select the top-ranked stocks for portfolio inclusion[25] Factor Evaluation: The SUE factor demonstrates strong stock selection ability, particularly within newly introduced stocks, and contributes to the superior performance of the preferred gold stock portfolio[25] Factor Backtesting Results - SUE Factor: - Incorporated into the preferred gold stock portfolio, contributing to its annualized return of 22.5% and return-to-volatility ratio of 0.89[25][27]