金工定期报告20250806：TPS与SPS选股因子绩效月报20250731-20250806

Quantitative Factors and Construction Methods 1. 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 addressing the stability of daily turnover rates. It uses shadow line differences as a price factor to complement the turnover rate factor, aiming to better capture market sentiment and improve stock selection performance[6][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 as a price factor to complement Turn20. The shadow line difference is used to represent intraday market sentiment, as it reflects the difference between the opening and closing prices[9]. 3. The final TPS factor is constructed by combining the Turn20 factor with the shadow line difference, using a double-group scoring method to optimize the results[9]. - Factor Evaluation: The TPS factor significantly outperforms traditional turnover rate factors in terms of stock selection ability. It remains effective even after removing the influence of common market styles and industry factors[1][9]. 2. Factor Name: SPS (STR conformed by PLUS) - Factor Construction Idea: Similar to the TPS factor, the SPS factor is designed to improve the traditional turnover rate factor by incorporating price-volume dynamics and addressing the stability of daily turnover rates. It also uses shadow line differences as a price factor to complement the STR (Stable Turnover Rate) factor[9]. - Factor Construction Process: 1. The STR factor was introduced to address the limitations of the traditional Turn20 factor, focusing on the stability of turnover rates. However, it still exhibited monotonicity issues in group standard deviations[7]. 2. The SPS factor integrates the shadow line difference as a price factor to complement the STR factor. The shadow line difference is used to better represent intraday market sentiment[9]. 3. The final SPS factor is constructed by combining the STR factor with the shadow line difference, using a double-group scoring method to optimize the results[9]. - Factor Evaluation: The SPS factor demonstrates strong stock selection ability, outperforming both the traditional turnover rate and STR factors. It remains effective after removing the influence of common market styles and industry factors[1][9]. --- Factor Backtesting Results 1. TPS Factor - Annualized Return: 39.56%[1][10] - Annualized Volatility: 15.70%[1][10] - Information Ratio (IR): 2.52[1][10] - Monthly Win Rate: 77.78%[1][10] - Maximum Drawdown: 18.19%[1][10] - July 2025 Performance: - Long Portfolio Return: 0.96% - Short Portfolio Return: -0.04% - Long-Short Portfolio Return: 1.00%[1][12] 2. SPS Factor - Annualized Return: 43.26%[1][12] - Annualized Volatility: 13.15%[1][12] - Information Ratio (IR): 3.29[1][12] - Monthly Win Rate: 83.76%[1][12] - Maximum Drawdown: 11.58%[1][12] - July 2025 Performance: - Long Portfolio Return: 1.22% - Short Portfolio Return: -0.14% - Long-Short Portfolio Return: 1.09%[1][14]