金工定期报告20250806：信息分布均匀度UID选股因子绩效月报-20250806

• The "Information Distribution Uniformity" (UID) factor is introduced as part of the "volatility stock selection factor" series, aiming to improve traditional volatility factors by leveraging high-frequency minute-level data to construct a more effective stock selection factor[6][7][10] - The construction process of the UID factor involves calculating daily high-frequency volatility using minute-level stock data and then deriving the UID factor to measure the uniformity of information distribution. This factor is designed to outperform traditional volatility factors in stock selection[6][10] - The formula for constructing the UID factor is not explicitly provided in the report, but the methodology emphasizes the use of high-frequency data and the removal of market style and industry interference to ensure the purity of the factor[6][10] - The UID factor demonstrates strong performance metrics in backtesting, with an annualized return of 26.53%, annualized volatility of 9.92%, an information ratio (IR) of 2.68, a monthly win rate of 79.14%, and a maximum monthly drawdown of 6.05% over the period from January 2014 to July 2025[7][10] - In July 2025, the UID factor's 10-group long portfolio achieved a return of 0.61%, the short portfolio achieved a return of 0.44%, and the long-short hedged portfolio achieved a return of 0.17%[10]