金工定期报告20250507：TPS与SPS选股因子绩效月报20250430-20250507

Quantitative Factors and Construction Methods - Factor Name: TPS (Turn20 conformed by PLUS) Factor Construction Idea: The TPS factor is designed to improve the traditional turnover rate factor by incorporating price-volume dynamics and focusing on the stability of daily turnover rates. It aims to address the deficiencies of traditional turnover rate factors, such as misjudging stocks with high turnover rates but large intra-group return variances [6][7][9] Factor Construction Process: 1. The traditional turnover rate factor (Turn20) is calculated as the average turnover rate over the past 20 trading days, followed by cross-sectional market capitalization neutralization [6] 2. The TPS factor integrates the shadow line difference (representing intraday market sentiment) as a price factor to complement the turnover rate factor [9] 3. The final TPS factor is constructed using a dual-group scoring method based on daily frequency data [9] Factor Evaluation: The TPS factor demonstrates significantly better performance than traditional turnover rate factors, even after removing the influence of common market styles and industry effects. It shows strong stock selection capabilities [6][9] - Factor Name: SPS (STR conformed by PLUS) Factor Construction Idea: Similar to TPS, the SPS factor improves the traditional turnover rate factor by incorporating price-volume dynamics and focusing on the stability of daily turnover rates. It also uses the shadow line difference as a price factor to enhance the turnover rate factor [9] Factor Construction Process: 1. The traditional STR (Stable Turnover Rate) factor was developed to address the deficiencies of Turn20 by focusing on turnover rate stability. However, it still failed to eliminate the monotonicity issue in intra-group standard deviations [7] 2. The SPS factor integrates the shadow line difference as a price factor to complement the STR factor, using a dual-group scoring method based on daily frequency data [9] Factor Evaluation: The SPS factor outperforms both the traditional Turn20 and STR factors, demonstrating strong stock selection capabilities even after removing market style and industry effects [9] Factor Backtesting Results - TPS Factor: - Annualized Return: 39.50% - Annualized Volatility: 15.79% - IR: 2.50 - Monthly Win Rate: 77.39% - Maximum Drawdown: 18.19% [1][11] - SPS Factor: - Annualized Return: 43.08% - Annualized Volatility: 13.17% - IR: 3.27 - Monthly Win Rate: 83.48% - Maximum Drawdown: 11.58% [1][12][14] - April 2025 Performance: - TPS Factor: - Long Portfolio Return: 0.48% - Short Portfolio Return: -4.59% - Long-Short Portfolio Return: 5.07% [1][14] - SPS Factor: - Long Portfolio Return: 0.55% - Short Portfolio Return: -4.81% - Long-Short Portfolio Return: 5.36% [1][15]