换手率变化率的稳定GTR选股因子绩效月报20250731-20250806

Quantitative Factors and Construction Methods 1. Factor Name: Stability of the Growth Rate of Turnover Rate (GTR) - Factor Construction Idea: The GTR factor identifies stocks with stable growth or decline in turnover rate, which may indicate potential for future price increases. The factor captures the "acceleration" of turnover rate changes and emphasizes stability in these changes[6][7]. - Factor Construction Process: The GTR factor is derived from turnover rate data, focusing on the stability of its growth rate. Specific details on the mathematical formula or calculation process are not provided in the report[6][7]. - Factor Evaluation: The GTR factor demonstrates low correlation (less than 0.1) with other turnover rate factors in the same series, enhancing its uniqueness and effectiveness in stock selection[6]. 2. Factor Name: Purely Enhanced TPS_Turbo - Factor Construction Idea: The TPS_Turbo factor is created by applying a "purely enhanced" method to combine the GTR factor with other turnover-related factors (Turn20 and STR), aiming to improve stock selection performance[6]. - Factor Construction Process: The TPS_Turbo factor is constructed by integrating the GTR factor with Turn20 and STR using a purely enhanced methodology. The exact mathematical process or formula is not detailed in the report[6]. - Factor Evaluation: The TPS_Turbo factor exhibits strong stock selection capabilities, as evidenced by its high performance metrics in backtesting[6]. 3. Factor Name: Purely Enhanced SPS_Turbo - Factor Construction Idea: Similar to TPS_Turbo, the SPS_Turbo factor is derived by combining the GTR factor with other turnover-related factors using the purely enhanced methodology, with a focus on further improving stock selection[6]. - Factor Construction Process: The SPS_Turbo factor is constructed by integrating the GTR factor with other turnover-related factors using the same purely enhanced methodology as TPS_Turbo. Specific details on the formula are not provided[6]. - Factor Evaluation: The SPS_Turbo factor demonstrates the highest stock selection performance among the factors discussed, with superior backtesting results[6]. --- Factor Backtesting Results 1. Stability of the Growth Rate of Turnover Rate (GTR) - Annualized Return: 13.29%[7][11] - Annualized Volatility: 10.24%[7][11] - IR: 1.30[7][11] - Monthly Win Rate: 67.09%[7][11] - Maximum Drawdown: 10.81%[7][11] 2. Purely Enhanced TPS_Turbo - Annualized Return: 36.31%[7][11] - Annualized Volatility: 13.21%[7][11] - IR: 2.75[7][11] - Monthly Win Rate: 78.63%[7][11] - Maximum Drawdown: 9.86%[7][11] 3. Purely Enhanced SPS_Turbo - Annualized Return: 37.33%[7][11] - Annualized Volatility: 10.88%[7][11] - IR: 3.43[7][11] - Monthly Win Rate: 81.62%[7][11] - Maximum Drawdown: 7.22%[7][11] --- Monthly Performance (July 2025) 1. Stability of the Growth Rate of Turnover Rate (GTR) - Long Portfolio Return: 0.96%[14] - Short Portfolio Return: 0.36%[14] - Long-Short Portfolio Return: 0.60%[14] 2. Purely Enhanced TPS_Turbo - Long Portfolio Return: 1.15%[15] - Short Portfolio Return: 0.03%[15] - Long-Short Portfolio Return: 1.12%[15] 3. Purely Enhanced SPS_Turbo - Long Portfolio Return: 1.17%[19] - Short Portfolio Return: 0.11%[19] - Long-Short Portfolio Return: 1.06%[19]