金工定期报告20251016：换手率分布均匀度UTD选股因子绩效月报-20251016

Quantitative Factor and Construction Methodology - Factor Name: Turnover Distribution Uniformity (UTD) Factor [1][6][7] - Factor Construction Idea: The UTD factor is an improvement over the traditional turnover rate factor, leveraging minute-level transaction volume data to reduce misclassification of stock samples and enhance stock selection performance [1][6][7] - Factor Construction Process: 1. Collect minute-level transaction volume data for individual stocks [1][7] 2. Calculate the turnover rate distribution uniformity based on the dispersion of turnover rates across different time intervals [7] 3. Construct the UTD factor by quantifying the uniformity of turnover rate distribution [7] 4. Perform style, industry, and proprietary factor neutralization to ensure the purity of the UTD factor [1] - Factor Evaluation: The UTD factor significantly reduces the misclassification of stock samples and demonstrates superior stock selection performance compared to traditional turnover rate factors [1][6][7] --- Factor Backtesting Results - Traditional Turnover Rate Factor (Turn20): - Monthly IC Mean: -0.072 [6] - Annualized ICIR: -2.10 [6] - Annualized Return: 33.41% [6] - IR: 1.90 [6] - Monthly Win Rate: 71.58% [6] - UTD Factor (2014/01-2025/09): - Annualized Return: 19.82% [1][7][12] - Annualized Volatility: 7.39% [1][7][12] - IR: 2.68 [1][7][12] - Monthly Win Rate: 77.30% [1][7][12] - Maximum Drawdown: 5.51% [1][7][12] - UTD Factor (September 2025): - 10-group long portfolio return: 0.91% [1][11] - 10-group short portfolio return: 0.52% [1][11] - 10-group long-short portfolio return: 0.39% [1][11]