金工定期报告20250507：优加换手率UTR2.0选股因子绩效月报-20250507

Quantitative Factors and Construction Factor Name: UTR2.0 (Upgraded Turnover Rate 2.0) - Factor Construction Idea: The UTR2.0 factor is an upgraded version of the original UTR factor. It combines the "Turn20" (small turnover factor) and "STR" (stable turnover factor) using a refined methodology. The key improvement involves transitioning from ordinal scale to ratio scale for factor values, and introducing a coefficient for the small turnover factor based on the stable turnover factor. This adjustment accounts for the varying impact of the small turnover factor across different subgroups [6][7] - Factor Construction Process: 1. Calculate the "Turn20" (small turnover factor) and "STR" (stable turnover factor) for all stocks at the end of each month [6] 2. Combine the two factors using the following formula: $\mathrm{UTR2.0} = \mathrm{STR} + \text{softsign}(\mathrm{STR}) \cdot \mathrm{Turn20}$ where: $\text{softsign}(x) = \frac{x}{1 + |x|}$ - STR represents the stable turnover factor - Turn20 represents the small turnover factor - softsign is a mathematical function that adjusts the impact of Turn20 based on the stability of STR [7] - Factor Evaluation: The UTR2.0 factor demonstrates improved performance metrics compared to the original UTR factor. While the absolute returns are slightly lower, the volatility, information ratio (IR), and monthly win rate are significantly better, making it a more robust factor for stock selection [6][7] --- Factor Backtesting Results UTR2.0 Factor - Annualized Return: 40.30% [8][12] - Annualized Volatility: 15.04% [8][12] - Information Ratio (IR): 2.68 [8][12] - Monthly Win Rate: 75.32% [8][12] - Maximum Drawdown: 11.03% [8][12] April 2025 Performance - Long Portfolio Return: 1.20% [10] - Short Portfolio Return: -4.90% [10] - Long-Short Portfolio Return: 6.10% [10]