金工定期报告20251204：TPS与SPS选股因子绩效月报20251130-20251204

Quantitative Factors and Construction Methods - Factor Name: TPS (Turn20 conformed by PLUS) Factor Construction Idea: The TPS factor is designed to improve the traditional turnover rate factor by incorporating price information, specifically the shadow difference (representing intraday market sentiment), to address the limitations of the traditional turnover rate factor[6][9] Factor Construction Process: 1. The traditional turnover rate factor (Turn20) is calculated as the average turnover rate over the past 20 trading days, followed by cross-sectional market capitalization neutralization[6] 2. The TPS factor integrates the shadow difference as a price factor to complement the Turn20 factor, leveraging intraday price movements (e.g., opening and closing prices) to better capture market sentiment[9] Factor Evaluation: The TPS factor significantly outperforms traditional turnover rate factors in terms of performance and maintains strong stock selection ability even after removing common style and industry effects[6][9] - Factor Name: SPS (STR conformed by PLUS) Factor Construction Idea: Similar to TPS, the SPS factor improves the STR (Stable Turnover Rate) factor by incorporating price information (shadow difference) to enhance its effectiveness in stock selection[9] Factor Construction Process: 1. The STR factor was initially developed to address the limitations of the Turn20 factor, focusing on turnover rate stability rather than magnitude[7] 2. The SPS factor further integrates the shadow difference as a price factor to complement the STR factor, using intraday price movements to better reflect market sentiment[9] Factor Evaluation: The SPS factor demonstrates superior performance compared to both the traditional Turn20 and STR factors, with strong stock selection capabilities even after removing style and industry biases[9] Factor Backtesting Results - TPS Factor: - Annualized Return: 39.30% - Annualized Volatility: 15.71% - IR: 2.50 - Monthly Win Rate: 77.64% - Maximum Drawdown: 18.19%[1][11] - SPS Factor: - Annualized Return: 42.98% - Annualized Volatility: 13.15% - IR: 3.27 - Monthly Win Rate: 83.54% - Maximum Drawdown: 11.58%[1][12][14]