换手率分布均匀度UTD选股因子绩效月报-20251107

Quantitative Factors and Construction Methods Factor Name: Turnover Distribution Uniformity (UTD) - Construction Idea: The UTD factor is constructed based on minute-level trading volume data to improve the traditional turnover factor by reducing the misjudgment rate of stock samples and enhancing stock selection performance[1][7]. - Construction Process: 1. Collect minute-level trading volume data for individual stocks. 2. Calculate the turnover rate for each minute and aggregate it to form a distribution. 3. Measure the uniformity of this distribution to construct the UTD factor. 4. The formula for the UTD factor is not explicitly provided in the report, but it involves statistical measures of distribution uniformity[1][7]. - Evaluation: The UTD factor significantly reduces the misjudgment rate of stock samples and performs better than traditional factors in stock selection[1][7]. Factor Backtesting Results UTD Factor - Annualized Return: 20.06%[1][7][11] - Annualized Volatility: 7.40%[1][7][11] - Information Ratio (IR): 2.71[1][7][11] - Monthly Win Rate: 77.30%[1][7][11] - Maximum Monthly Drawdown: 5.51%[1][7][11] Monthly Performance (October 2025) UTD Factor - Long Portfolio Return: 3.37%[1][10] - Short Portfolio Return: 0.59%[1][10] - Long-Short Portfolio Return: 2.78%[1][10]