新价量相关性因子绩效月报20251128-20251129

• The RPV factor (Renewed Correlation of Price and Volume) is constructed by integrating intraday and overnight information, dividing price-volume into four quadrants, and leveraging monthly IC averages to identify reversal and momentum effects. It incorporates "volume" information into the correlation form, finding optimal representatives for intraday and overnight price-volume correlations and completing information integration. This factor is designed to enhance the effectiveness of price-volume correlation in stock selection [6][1][7] - The SRV factor (Smart Correlation of Price and Volume) refines intraday price movements by splitting them into morning and afternoon changes, calculating minute-level "smart" indicators, and identifying the 20% of afternoon minutes with the highest "smart" indicator values as the most informed trading periods. It uses the correlation between afternoon "smart" turnover rate and afternoon price changes. For overnight price-volume correlation, it replaces turnover rate with the turnover rate of the last half-hour of the previous day, which has a higher proportion of informed trading. The SRV factor combines the more effective intraday and overnight price-volume correlation factors into a composite factor [6][1][7] - The RPV factor achieved an annualized return of 14.29%, annualized volatility of 7.66%, IR of 1.87, monthly win rate of 72.54%, and maximum drawdown of 10.63% during the backtesting period from January 2014 to November 2025 [7][10][1] - The SRV factor achieved an annualized return of 17.03%, annualized volatility of 6.47%, IR of 2.63, monthly win rate of 74.65%, and maximum drawdown of 3.93% during the backtesting period from January 2014 to November 2025 [7][10][1] - In November 2025, the RPV factor's 10-group long portfolio had a return of -0.23%, the short portfolio had a return of -0.47%, and the long-short portfolio had a return of 0.24% [10][1][11] - In November 2025, the SRV factor's 10-group long portfolio had a return of 0.19%, the short portfolio had a return of -0.44%, and the long-short portfolio had a return of 0.63% [10][1][11]