金工定期报告20251107：优加换手率UTR2.0选股因子绩效月报-20251107

Quantitative Factors and Construction Methods - Factor Name: UTR2.0 (Upgraded Turnover Rate 2.0) Factor Construction Idea: The UTR2.0 factor is an upgraded version of the original UTR factor. It combines the "volume stability factor" (STR) and the "small volume factor" (Turn20) using a new methodology. The key improvement involves transitioning from ordinal scale to ratio scale for factor values, which retains more information and adjusts the impact of the small volume factor based on the stability of the volume[6][7]. Factor Construction Process: 1. At the end of each month, calculate the small volume factor (Turn20) and the volume stability factor (STR) for all stocks[6]. 2. Sort all samples by STR in ascending order and assign scores (1, 2, ..., N), where N is the total number of samples. This is recorded as "Score 1"[6]. 3. For the top 50% of samples ranked by STR, sort them by Turn20 in descending order and assign scores (1, 2, ..., N/2). This is recorded as "Score 2". The final score for these stocks is "Score 1 + Score 2"[6]. 4. For the bottom 50% of samples ranked by STR, sort them by Turn20 in ascending order and assign scores (1, 2, ..., N/2). This is recorded as "Score 3". The final score for these stocks is "Score 1 + Score 3"[6]. 5. Transition from ordinal scale to ratio scale by introducing a coefficient for Turn20, which is a function of STR. The coefficient reflects the impact of Turn20 on returns: the more stable the volume, the stronger the positive impact; the less stable the volume, the stronger the negative impact. The formula for UTR2.0 is: $\mathrm{UTR2.0} = \mathrm{STR} + \text{softsign}(\mathrm{STR}) \cdot \mathrm{Turn20}$ where $\text{softsign}(x) = \frac{x}{1 + |x|}$[7]. Factor Evaluation: The UTR2.0 factor improves upon the original UTR factor by achieving better performance in terms of volatility, information ratio (IR), and monthly win rate, although its returns are slightly lower[6][7]. --- Factor Backtesting Results - UTR2.0 Factor: - Annualized Return: 40.48% - Annualized Volatility: 14.98% - Information Ratio (IR): 2.70 - Monthly Win Rate: 75.53% - Maximum Drawdown: 11.03%[8][12] - October 2025 Performance: - Long Portfolio Return: 4.64% - Short Portfolio Return: -1.50% - Long-Short Portfolio Return: 6.14%[10]