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

Investment Rating - The industry investment rating is "增持" (Overweight), indicating an expectation that the industry index will outperform the benchmark by more than 5% in the next six months [22]. Core Insights - The TPS factor has an annualized return of 39.50% with a volatility of 15.79%, an information ratio of 2.50, a monthly win rate of 77.39%, and a maximum drawdown of 18.19% from January 2006 to April 2025 [11][12]. - The SPS factor has an annualized return of 43.08% with a volatility of 13.17%, an information ratio of 3.27, a monthly win rate of 83.48%, and a maximum drawdown of 11.58% during the same period [11][12]. - In April 2025, the TPS factor's long portfolio yielded a return of 0.48%, while the short portfolio had a return of -4.59%, resulting in a total long-short return of 5.07% [14][15]. - For the SPS factor in April 2025, the long portfolio returned 0.55%, the short portfolio returned -4.81%, leading to a total long-short return of 5.36% [14][15]. Summary by Sections TPS Factor Performance - The TPS factor was constructed to improve the traditional turnover rate factor by focusing on the stability of daily turnover rates. It significantly outperformed traditional turnover rate factors during the backtesting period [9][10]. - The TPS factor's performance metrics from January 2006 to April 2025 include an annualized return of 39.50%, annualized volatility of 15.79%, and a monthly win rate of 77.39% [11][12]. SPS Factor Performance - The SPS factor was also designed to enhance the traditional turnover rate factor, focusing on daily turnover rate stability. It has shown superior performance compared to traditional factors [9][10]. - The SPS factor's performance metrics from January 2006 to April 2025 include an annualized return of 43.08%, annualized volatility of 13.17%, and a monthly win rate of 83.48% [11][12].