金工定期报告20250507：换手率变化率的稳定GTR选股因子绩效月报20250430-20250507

Quantitative Models and Construction Methods Model Name: Stability of the Growth Rate of Turnover Rate (GTR) - Model Construction Idea: The model identifies stocks with high turnover rate volatility but stable growth or decline in turnover rate, which may indicate potential future price increases[1][6]. - Model Construction Process: The GTR factor is constructed by analyzing the stability of the turnover rate's growth rate. This involves calculating the acceleration of turnover rate changes and incorporating the stability aspect to form the GTR factor[1][6]. - Model Evaluation: The GTR factor has a low correlation (less than 0.1) with other turnover rate factors and enhances the performance of the entire turnover rate factor series[6]. Model Name: TPS_Turbo - Model Construction Idea: The TPS_Turbo factor is derived by combining the GTR factor with Turn20 and STR using a pure enhancement method[6]. - Model Construction Process: The TPS_Turbo factor is created by applying the GTR factor to Turn20 and STR, enhancing their stock selection capabilities[6]. - Model Evaluation: The TPS_Turbo factor shows excellent stock selection ability[6]. Model Name: SPS_Turbo - Model Construction Idea: Similar to TPS_Turbo, the SPS_Turbo factor is derived by combining the GTR factor with Turn20 and STR using a pure enhancement method[6]. - Model Construction Process: The SPS_Turbo factor is created by applying the GTR factor to Turn20 and STR, enhancing their stock selection capabilities[6]. - Model Evaluation: The SPS_Turbo factor shows excellent stock selection ability[6]. Model Backtest Results Stability of the Growth Rate of Turnover Rate (GTR) - Annualized Return: 13.20%[7][11] - Annualized Volatility: 10.29%[7][11] - Information Ratio (IR): 1.28[7][11] - Monthly Win Rate: 66.96%[7][11] - Maximum Drawdown: 10.81%[7][11] TPS_Turbo - Annualized Return: 36.20%[7][11] - Annualized Volatility: 13.27%[7][11] - Information Ratio (IR): 2.73[7][11] - Monthly Win Rate: 78.26%[7][11] - Maximum Drawdown: 9.86%[7][11] SPS_Turbo - Annualized Return: 37.44%[7][11] - Annualized Volatility: 10.94%[7][11] - Information Ratio (IR): 3.42[7][11] - Monthly Win Rate: 81.30%[7][11] - Maximum Drawdown: 7.22%[7][11] Quantitative Factors and Construction Methods Factor Name: Stability of the Growth Rate of Turnover Rate (GTR) - Factor Construction Idea: The factor identifies stocks with high turnover rate volatility but stable growth or decline in turnover rate, which may indicate potential future price increases[1][6]. - Factor Construction Process: The GTR factor is constructed by analyzing the stability of the turnover rate's growth rate. This involves calculating the acceleration of turnover rate changes and incorporating the stability aspect to form the GTR factor[1][6]. - Factor Evaluation: The GTR factor has a low correlation (less than 0.1) with other turnover rate factors and enhances the performance of the entire turnover rate factor series[6]. Factor Name: TPS_Turbo - Factor Construction Idea: The TPS_Turbo factor is derived by combining the GTR factor with Turn20 and STR using a pure enhancement method[6]. - Factor Construction Process: The TPS_Turbo factor is created by applying the GTR factor to Turn20 and STR, enhancing their stock selection capabilities[6]. - Factor Evaluation: The TPS_Turbo factor shows excellent stock selection ability[6]. Factor Name: SPS_Turbo - Factor Construction Idea: Similar to TPS_Turbo, the SPS_Turbo factor is derived by combining the GTR factor with Turn20 and STR using a pure enhancement method[6]. - Factor Construction Process: The SPS_Turbo factor is created by applying the GTR factor to Turn20 and STR, enhancing their stock selection capabilities[6]. - Factor Evaluation: The SPS_Turbo factor shows excellent stock selection ability[6]. Factor Backtest Results Stability of the Growth Rate of Turnover Rate (GTR) - Annualized Return: 13.20%[7][11] - Annualized Volatility: 10.29%[7][11] - Information Ratio (IR): 1.28[7][11] - Monthly Win Rate: 66.96%[7][11] - Maximum Drawdown: 10.81%[7][11] TPS_Turbo - Annualized Return: 36.20%[7][11] - Annualized Volatility: 13.27%[7][11] - Information Ratio (IR): 2.73[7][11] - Monthly Win Rate: 78.26%[7][11] - Maximum Drawdown: 9.86%[7][11] SPS_Turbo - Annualized Return: 37.44%[7][11] - Annualized Volatility: 10.94%[7][11] - Information Ratio (IR): 3.42[7][11] - Monthly Win Rate: 81.30%[7][11] - Maximum Drawdown: 7.22%[7][11]