金工定期报告：优加换手率UTR2.0选股因子绩效月报

Quantitative Factors and Construction Factor Name: UTR2.0 (Upgraded Turnover Rate 2.0) - Factor Construction Idea: UTR2.0 is an upgraded version of the UTR factor, combining the "Turnover Stability Factor" (STR) and the "Small Turnover Factor" (Turn20). The construction shifts from ordinal scale to ratio scale, incorporating a coefficient for Turn20 based on STR. This adjustment accounts for the varying impact of Turn20 across different STR groups, enhancing the factor's predictive power [5][6] - Factor Construction Process: 1. Calculate the Turn20 (small turnover factor) and STR (turnover stability factor) for all stocks at the end of each month [5] 2. Combine the two factors using the following formula: $\mathrm{UTR2.0} = \mathrm{STR} + \text{softsign}(\mathrm{STR}) \cdot \mathrm{Turn20}$ where: $\text{softsign}(x) = \frac{x}{1 + |x|}$ The softsign function acts as a coefficient for Turn20, with its magnitude and direction determined by STR. A higher STR amplifies the positive impact of Turn20, while a lower STR reduces or reverses its effect [6] - Factor Evaluation: Compared to the original UTR factor, UTR2.0 demonstrates improved performance in terms of volatility, information ratio (IR), and monthly win rate, although its absolute returns are slightly lower [6] --- Factor Backtesting Results UTR2.0 Factor - Annualized Return: 40.28% [1][11] - Annualized Volatility: 15.08% [1][11] - Information Ratio (IR): 2.67 [1][11] - Monthly Win Rate: 75.22% [1][11] - Maximum Drawdown: 11.03% [1][11] November 2024 Performance - Long Portfolio Return: 8.57% [1][9] - Short Portfolio Return: -1.14% [1][9] - Long-Short Portfolio Return: 9.71% [1][9]