金工定期报告20251106：TPS与SPS选股因子绩效月报20251031-20251106

Quantitative Models and Factor Construction Quantitative Models and Construction Methods Model Name: TPS (Turnover Price Stability) - Model Construction Idea: The TPS factor is constructed from the perspective of examining the stability of daily turnover rates, aiming to improve the traditional turnover rate factor by incorporating price factors[1][9]. - Model Construction Process: - Calculate the average turnover rate over the past 20 trading days (Turn20). - Neutralize the turnover rate by market capitalization. - Use the shadow difference as the price factor to pair with the Turn20 factor. - Construct the TPS factor by combining the turnover rate and the price factor[6][9]. - Model Evaluation: The TPS factor significantly outperforms traditional turnover rate factors and maintains good stock-picking ability even after removing market style and industry interference[1][9]. Model Name: SPS (Stable Price Stability) - Model Construction Idea: Similar to the TPS factor, the SPS factor is constructed from the perspective of examining the stability of daily turnover rates, aiming to improve the traditional turnover rate factor by incorporating price factors[1][9]. - Model Construction Process: - Calculate the average turnover rate over the past 20 trading days (Turn20). - Neutralize the turnover rate by market capitalization. - Use the shadow difference as the price factor to pair with the Turn20 factor. - Construct the SPS factor by combining the turnover rate and the price factor[6][9]. - Model Evaluation: The SPS factor significantly outperforms traditional turnover rate factors and maintains strong stock-picking ability even after removing market style and industry interference[1][9]. Model Backtesting Results TPS Model - Annualized Return: 39.34%[1][11] - Annualized Volatility: 15.74%[1][11] - Information Ratio (IR): 2.50[1][11] - Monthly Win Rate: 77.54%[1][11] - Maximum Drawdown: 18.19%[1][11] SPS Model - Annualized Return: 43.18%[1][12] - Annualized Volatility: 13.16%[1][12] - Information Ratio (IR): 3.28[1][12] - Monthly Win Rate: 83.47%[1][12] - Maximum Drawdown: 11.58%[1][12] Factor Backtesting Results TPS Factor - 10-Group Long Portfolio Return: 4.09%[1][12] - 10-Group Short Portfolio Return: -1.73%[1][12] - 10-Group Long-Short Portfolio Return: 5.82%[1][12] SPS Factor - 10-Group Long Portfolio Return: 4.22%[1][14] - 10-Group Short Portfolio Return: -0.78%[1][14] - 10-Group Long-Short Portfolio Return: 5.00%[1][14]