金工定期报告20250604：“日与夜的殊途同归”新动量因子绩效月报

Investment Rating - The report indicates an investment rating of "增持" (Overweight) for the industry, suggesting a relative strength of over 5% compared to the benchmark in the next six months [16]. Core Insights - The "日与夜的殊途同归" new momentum factor has shown an annualized return of 18.37% and a volatility of 8.79% from February 2014 to May 2025, with an information ratio of 2.09 and a monthly win rate of 77.94% [6][13]. - In May 2025, the long portfolio of the "殊途同归" factor yielded a return of 4.00%, while the short portfolio returned 5.90%, resulting in a negative return of -1.90% for the long-short strategy [10]. - The new momentum factor model improves upon traditional momentum factors by incorporating intraday and overnight price-volume relationships, leading to a significant enhancement in stock selection capabilities [7][6]. Summary by Sections Performance Review of the New Momentum Factor - The report reviews the performance of the "日与夜的殊途同归" new momentum factor, highlighting its annualized return of 18.37% and a maximum drawdown of 9.07% over the specified period [6][13]. - Traditional momentum factors have shown instability, with a maximum drawdown of 20.35% and a win rate of only 62.75% during the same period [6]. Statistical Analysis - The new momentum factor's backtesting from January 1, 2014, to July 31, 2022, indicates an average information coefficient (IC) of -0.045 and an annualized ICIR of -2.59, demonstrating its superior stock selection ability compared to traditional factors [6][7]. - The monthly maximum drawdown for the new factor is significantly lower at 5.79%, indicating better risk management [6]. Monthly Performance Statistics - The report provides detailed statistics for May 2025, showing the performance of the long and short portfolios, with the long portfolio returning 4.00% and the short portfolio returning 5.90% [10][12]. - The overall performance of the long-short strategy for the month resulted in a negative return of -1.90% [10].