金工定期报告：量稳换手率STR选股因子绩效月报

Quantitative Factors and Models Summary Quantitative Factors and Construction Methods 1. Factor Name: Stability of Turnover Rate (STR) Factor Construction Idea: The STR factor is designed to evaluate the stability of daily turnover rates, aiming to improve upon traditional turnover rate factors by focusing on the consistency of turnover rather than its absolute value or relative changes[1][8]. Factor Construction Process: - The STR factor is constructed using daily turnover rate data. - It measures the stability of turnover rates over a specific period, emphasizing stocks with more stable turnover patterns. - The factor calculation process is simple and leverages daily frequency data, inspired by the Uniformity of Turnover Rate Distribution (UTD) factor, which was based on minute-level data[8]. Factor Evaluation: The STR factor demonstrates superior performance compared to traditional turnover rate factors, showing strong stock selection ability even after removing common style and industry effects[1][8]. 2. Factor Name: Traditional Turnover Rate (Turn20) Factor Construction Idea: The Turn20 factor calculates the average daily turnover rate over the past 20 trading days, adjusted for market capitalization neutrality[6]. Factor Construction Process: - At the end of each month, the average daily turnover rate for the past 20 trading days is calculated for each stock. - A market capitalization neutralization process is applied to remove size effects[6]. Factor Evaluation: The Turn20 factor has historically performed well, with a negative IC indicating that stocks with lower turnover rates tend to outperform. However, its logic has limitations, as it may misjudge stocks with high turnover but strong future performance[6][7]. Factor Backtesting Results 1. STR Factor: - Annualized Return: 41.49% - Annualized Volatility: 14.38% - Information Ratio (IR): 2.89 - Monthly Win Rate: 77.73% - Maximum Drawdown: 9.96%[1][9][14] 2. Turn20 Factor: - Annualized Return: 33.41% - Annualized Volatility: Not explicitly mentioned - Information Ratio (IR): 1.90 - Monthly Win Rate: 71.58% - Maximum Drawdown: Not explicitly mentioned[6] 3. STR Factor (Backtest Period: 2006/01/01 - 2021/04/30): - Annualized Return: 42.99% - Annualized Volatility: 14.51% - Information Ratio (IR): 2.96 - Monthly Win Rate: 77.60% - Maximum Drawdown: 11.08%[1][8] 4. STR Factor (May 2024 Performance): - Long Portfolio Return: -1.60% - Short Portfolio Return: -2.95% - Long-Short Portfolio Return: 1.35%[1][12]