KAIYUAN SECURITIES·2026-03-02 03:18Quantitative Models and Construction Methods 1. Model Name: Kaiyuan Quantitative 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 expectations[23]. - Model Construction Process: - Use newly introduced golden stocks as the sample pool. - Select the top 30 stocks with the highest earnings surprise (SUE factor). - Weight the portfolio based on the number of recommendations by brokers[23]. - Model Evaluation: The model demonstrates superior performance compared to the overall golden stock portfolio, with higher annualized returns and a better risk-return ratio[23]. Model Backtesting Results 1. Kaiyuan Quantitative Preferred Golden Stock Portfolio - February Return: 4.4% - 2026 YTD Return: 15.5% - Annualized Return: 24.4% - Annualized Volatility: 25.1% - Return-to-Volatility Ratio: 0.97 - Maximum Drawdown: 24.6%[26][27] 2. Overall Golden Stock Portfolio - February Return: 2.9% - 2026 YTD Return: 8.9% - Annualized Return: 14.7% - Annualized Volatility: 23.2% - Return-to-Volatility Ratio: 0.63 - Maximum Drawdown: 42.6%[21][26] 3. Newly Introduced Golden Stock Portfolio - February Return: 3.5% - 2026 YTD Return: 10.7% - Annualized Return: 17.5% - Annualized Volatility: 23.8% - Return-to-Volatility Ratio: 0.73 - Maximum Drawdown: 38.5%[21] 4. Repeated Golden Stock Portfolio - February Return: 2.4% - 2026 YTD Return: 7.4% - Annualized Return: 12.3% - Annualized Volatility: 23.4% - Return-to-Volatility Ratio: 0.52 - Maximum Drawdown: 45.0%[21] 5. Benchmark Indices - CSI 300 Index: February Return: 0.1%, 2026 YTD Return: 1.7%, Annualized Return: 3.7%, Annualized Volatility: 20.8%, Return-to-Volatility Ratio: 0.18, Maximum Drawdown: 40.6%[21][26] - CSI 500 Index: February Return: 3.4%, 2026 YTD Return: 16.0%, Annualized Return: 3.5%, Annualized Volatility: 23.8%, Return-to-Volatility Ratio: 0.15, 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 reported earnings and consensus estimates. - Rank stocks based on their earnings surprise values. - Select the top stocks with the highest earnings surprise for portfolio construction[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 in Newly Introduced Golden Stock Portfolio - Demonstrates superior stock selection ability, contributing to the outperformance of the preferred golden stock portfolio compared to the overall golden stock portfolio[23].