新价量相关性因子绩效月报20250930-20251014

• The report introduces the RPV factor (Renewed Correlation of Price and Volume), which is constructed by combining intraday and overnight price-volume correlation information. The factor leverages the reversal effect of closing price sequences and the momentum effect of overnight returns, enhanced by turnover rate sequences. The construction process involves identifying the best representatives for intraday and overnight price-volume correlations (CCOIV and COV), and integrating their information into a unified factor. This factor is designed to capture both reversal and momentum effects effectively[6][7][10] - The report also introduces the SRV factor (Smart Correlation of Price and Volume), which is a refined version of the RPV factor. The SRV factor splits intraday price movements into morning and afternoon sessions, calculates a "smart" indicator for the afternoon session, and identifies the 20% of time intervals with the highest informed trading activity. It then uses the turnover rate during these intervals to calculate the correlation with afternoon price movements. For overnight price-volume correlation, the turnover rate is replaced with the turnover rate of the last half-hour of the previous trading day, which is considered to have a higher proportion of informed trading. The SRV factor combines the improved intraday and overnight price-volume correlation factors into a single composite factor[6][10][11] - The RPV factor is evaluated as a novel and effective factor that incorporates both reversal and momentum effects, making it a robust tool for stock selection[6][7] - The SRV factor is evaluated as an improvement over the RPV factor, with better performance metrics, including higher annualized returns, information ratio, and lower maximum drawdown. It is considered a more effective factor for stock selection[6][10] - The RPV factor achieved an annualized return of 14.26%, annualized volatility of 7.70%, IR of 1.85, monthly win rate of 72.14%, and maximum drawdown of 10.63% during the backtesting period from January 2014 to September 2025[7][10] - The SRV factor achieved an annualized return of 17.07%, annualized volatility of 6.51%, IR of 2.62, monthly win rate of 74.29%, and maximum drawdown of 3.93% during the same backtesting period[7][10] - In September 2025, the RPV factor achieved a 10-group long portfolio return of 1.24%, short portfolio return of -0.89%, and long-short portfolio return of 2.12%[10] - In September 2025, the SRV factor achieved a 10-group long portfolio return of 1.70%, short portfolio return of -1.51%, and long-short portfolio return of 3.21%[10]