新价量相关性因子绩效月报20251031-20251106

• The RPV factor (Renewed Correlation of Price and Volume) is constructed by integrating intraday and overnight price-volume correlation information, leveraging the reversal and momentum effects of price-volume relationships. It uses the monthly IC mean to identify the optimal representation of intraday and overnight correlations, combining them into a single factor[6][7][11] - The SRV factor (Smart Correlation of Price and Volume) refines intraday price movements by splitting them into morning and afternoon changes, calculating "smart" indicators for the afternoon session. It identifies the most informed trading periods and uses the turnover rate during these periods. For overnight correlations, it replaces turnover rate with the turnover rate of the last half-hour of the previous day, combining the best-performing intraday and overnight factors into a single SRV factor[6][7][11] - The RPV factor achieved an annualized return of 14.38%, annualized volatility of 7.68%, IR of 1.87, monthly win rate of 72.34%, and maximum drawdown of 10.63% during the backtest period from January 2014 to October 2025[7][10] - The SRV factor outperformed the RPV factor with an annualized return of 17.10%, annualized volatility of 6.49%, IR of 2.64, monthly win rate of 74.47%, and maximum drawdown of 3.93% during the same backtest period[7][10] - In October 2025, the RPV factor's 10-group long portfolio achieved a return of 2.08%, the short portfolio returned -0.15%, and the long-short portfolio returned 2.23%. The SRV factor's 10-group long portfolio achieved a return of 2.32%, the short portfolio returned 0.68%, and the long-short portfolio returned 1.64%[10][11]