金工定期报告20251016：信息分布均匀度UID选股因子绩效月报-20251016

• The report introduces the "Information Distribution Uniformity (UID) factor" as a stock selection factor, which is constructed using minute-level data of individual stocks to calculate daily high-frequency volatility[1][6] - The UID factor significantly outperforms traditional volatility factors in stock selection, even after removing the interference of commonly used market styles and industries, with an annualized ICIR of -3.17[1] - The performance of the UID factor from January 2014 to September 2025 includes an annualized return of 26.48%, annualized volatility of 9.88%, an information ratio (IR) of 2.68, a monthly win rate of 78.72%, and a maximum monthly drawdown of 6.05%[1][7][12] - In September 2025, the 10-group long portfolio of the UID factor in the entire A-share market had a return of 1.84%, the 10-group short portfolio had a return of 0.04%, and the 10-group long-short hedged portfolio had a return of 1.80%[1][11] - The construction process of the UID factor involves using minute-level price data to calculate the high-frequency volatility of individual stocks and then constructing the UID factor based on the uniformity of information distribution[1][6] - The report highlights that the UID factor, despite being a single factor, shows good stock selection ability and can be a valuable addition to the factor library[1][6]