金工定期报告20250903：“日与夜的殊途同归”新动量因子绩效月报-20250903

• The "Day and Night Convergence" new momentum factor is constructed based on the price-volume relationship during intraday and overnight trading periods, aiming to improve the stability of traditional momentum factors by incorporating transaction volume information[7][6][1] - The construction process involves splitting trading periods into day and night sessions, analyzing their respective price-volume relationships, and synthesizing a new momentum factor. The factor's IC mean is -0.045, annualized ICIR is -2.59, and its 10-group long-short strategy achieved an annualized return of 22.64%, IR of 2.85, monthly win rate of 83.33%, and maximum drawdown of 5.79% during the backtest period from 2014/01/01 to 2022/07/31[7][6][1] - The factor demonstrates superior stock selection ability compared to traditional momentum factors, which had an IR of 1.09, monthly win rate of 62.75%, and maximum drawdown of 20.35% during the same backtest period[6][7] - In the full A-share market (excluding Beijing Stock Exchange stocks), the "Day and Night Convergence" factor's 10-group long-short strategy achieved an annualized return of 17.93%, annualized volatility of 8.73%, IR of 2.05, monthly win rate of 76.98%, and maximum drawdown of 9.07% from February 2014 to August 2025[14][7][1] - For August 2025, the factor's 10-group long portfolio returned 9.49%, the short portfolio returned 9.58%, and the long-short strategy returned -0.10%[10][1]