金工定期报告：信息分布均匀度UID选股因子绩效月报

Quantitative Factors and Construction Methods 1. Factor Name: Information Distribution Uniformity (UID) Factor - Factor Construction Idea: The UID factor is based on high-frequency volatility data, aiming to improve traditional volatility factors by leveraging minute-level stock data to measure the uniformity of information distribution. This approach significantly outperforms traditional volatility factors in stock selection[1][5]. - Factor Construction Process: 1. Use minute-level stock data to calculate daily high-frequency volatility. 2. Construct the UID factor by measuring the uniformity of information distribution across the data. 3. Remove the interference of common market styles and industry effects to ensure the purity of the factor. 4. The factor retains strong stock selection ability even after these adjustments, with an annualized ICIR of -3.17[1][5][9]. - Factor Evaluation: The UID factor demonstrates superior performance compared to traditional volatility factors, providing incremental information and robust stock selection capabilities[1][5]. --- Factor Backtesting Results 1. Information Distribution Uniformity (UID) Factor - Annualized Return: 27.18%[6][10] - Annualized Volatility: 9.99%[6][10] - Information Ratio (IR): 2.72[6][10] - Monthly Win Rate: 80.00%[6][10] - Maximum Drawdown: 6.05%[6][10] 2. November 2024 Performance - 10-Group Long Portfolio Return: 6.68%[9] - 10-Group Short Portfolio Return: 1.59%[9] - 10-Group Long-Short Portfolio Return: 5.08%[9]