金工定期报告20250507：换手率分布均匀度UTD选股因子绩效月报-20250507

Quantitative Factors and Construction Methods Factor Name: Turnover Distribution Uniformity (UTD) - Construction Idea: The UTD factor is constructed based on minute-level trading volume data to improve the traditional turnover factor by reducing the misjudgment rate of stock samples and enhancing stock selection performance[1][7] - Construction Process: - Calculate the daily turnover rate for each stock over the past 20 trading days at the end of each month - Neutralize the turnover rate by market capitalization - Use minute-level trading volume data to construct the UTD factor, which measures the uniformity of turnover distribution[6][7] - Evaluation: The UTD factor significantly reduces the misjudgment rate of stock samples and performs better in stock selection compared to traditional factors[1][7] Factor Backtesting Results - Turnover Distribution Uniformity (UTD) Factor: - Annualized Return: 19.94%[1][7][12] - Annualized Volatility: 7.40%[1][7][12] - Information Ratio (IR): 2.69[1][7][12] - Monthly Win Rate: 77.04%[1][7][12] - Maximum Drawdown: 5.51%[1][7][12] Monthly Performance of UTD Factor (April 2025) - Long Portfolio Return: -0.72%[1][11] - Short Portfolio Return: -3.36%[1][11] - Long-Short Portfolio Return: 2.64%[1][11]