Quantitative Factors and Construction 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 "Turn20" (small turnover factor) and "STR" (stable turnover factor) using a refined methodology. The key improvement involves transitioning from ordinal scale to ratio scale for factor values, and introducing a coefficient for the small turnover factor based on the stable turnover factor. This adjustment accounts for the varying impact of the small turnover factor across different subgroups [6][7] - **Factor Construction Process**: 1. Calculate the "Turn20" (small turnover factor) and "STR" (stable turnover factor) for all stocks at the end of each month [6] 2. Combine the two factors using the following formula: $$ \mathrm{UTR2.0} = \mathrm{STR} + \text{softsign}(\mathrm{STR}) \cdot \mathrm{Turn20} $$ where: $$ \text{softsign}(x) = \frac{x}{1 + |x|} $$ - `STR` represents the stable turnover factor - `Turn20` represents the small turnover factor - `softsign` is a mathematical function that adjusts the impact of `Turn20` based on the stability of `STR` [7] - **Factor Evaluation**: The UTR2.0 factor demonstrates improved performance metrics compared to the original UTR factor. While the absolute returns are slightly lower, the volatility, information ratio (IR), and monthly win rate are significantly better, making it a more robust factor for stock selection [6][7] --- Factor Backtesting Results UTR2.0 Factor - **Annualized Return**: 40.30% [8][12] - **Annualized Volatility**: 15.04% [8][12] - **Information Ratio (IR)**: 2.68 [8][12] - **Monthly Win Rate**: 75.32% [8][12] - **Maximum Drawdown**: 11.03% [8][12] April 2025 Performance - **Long Portfolio Return**: 1.20% [10] - **Short Portfolio Return**: -4.90% [10] - **Long-Short Portfolio Return**: 6.10% [10]

一、券商金股股票池上月回顾 2025年4月，万辰集团、先达股份、民士达等券商金股股票的月度上涨幅度靠前。 2025年4月，东北证券、华西证券、华源证券收益排名前三，月度收益分别为 17.31%、13.41%、12.75%，同期偏股混合型基金指数收益-2.26%，沪深300指数 收益-3.00%。 2025年以来，东北证券、华鑫证券、国联证券收益排名前三，年度收益分别为 44.56%、42.58%、16.68%，同期偏股混合型基金指数收益2.28%，沪深300指数收 益-4.18%。 二、券商金股股票池中选股因子表现 最近一个月，总市值、SUE、单季度净利润增速表现较好，EPTTM、波动率、预 期股息率表现较差； 今年以来，总市值、SUE、剥离涨停动量表现较好，预期股息率、EPTTM、波动 率表现较差。 三、券商金股股票池本月特征 截至2025年5月6日，共有41家券商发布本月金股。在对券商金股股票池进行去重 后，总共有291只A股。 从 绝 对 占 比 来 看 ， 本 期 券 商 金 股 在 电 子 (10.00%) 、 医 药 (8.25%) 、 基 础 化 工 (8.25%)、食品饮料(7.25%)、机械 ...

一、本周指数增强组合表现 沪深300指数增强组合本周超额收益0.77%，本年超额收益3.14%。 中证500指数增强组合本周超额收益1.14%，本年超额收益3.91%。 中证1000指数增强组合本周超额收益0.79%，本年超额收益5.21%。 二、本周选股因子表现跟踪 沪深300成分股中3个月盈利上下调、标准化预期外盈利、单季净利同比增速 等因子表现较好。 中证500成分股中预期PEG、BP、标准化预期外收入等因子表现较好。 中证1000成分股中预期净利润环比、预期PEG、单季超预期幅度等因子表现 较好。 公募基金重仓股中一年动量、3个月盈利上下调、单季净利同比增速等因子 表现较好。 三、本周公募基金指数增强产品表现跟踪 沪深300指数增强产品本周超额收益最高2.02%，最低-0.56%，中位数 0.45%。 中证500指数增强产品本周超额收益最高1.36%，最低-0.28%，中位数 0.59%。 中证1000指数增强产品本周超额收益最高1.44%，最低-0.17%，中位数 0.78%。 主 要 结 论 一 国信金工指数增强组合表现跟踪 国信金工指数增强组合的构建流程主要包括收益预测、风险控制和组合优化三块， ...

一、本周指数增强组合表现 沪深300指数增强组合本周超额收益0.79%，本年超额收益2.38%。 中证500指数增强组合本周超额收益0.58%，本年超额收益2.73%。 中证1000指数增强组合本周超额收益1.17%，本年超额收益4.33%。 二、本周选股因子表现跟踪 沪深300成分股中预期BP、预期净利润环比、BP等因子表现较好。 中证500成分股中单季净利同比增速、标准化预期外盈利、单季超预期幅度 等因子表现较好。 中证1000成分股中预期PEG、标准化预期外收入、BP等因子表现较好。 公募基金重仓股中预期净利润环比、标准化预期外盈利、单季营利同比增速 等因子表现较好。 三、本周公募基金指数增强产品表现跟踪 沪深300指数增强产品本周超额收益最高0.76%，最低-0.44%，中位数 0.17%。 中证500指数增强产品本周超额收益最高1.12%，最低-0.44%，中位数 0.48%。 中证1000指数增强产品本周超额收益最高1.40%，最低-0.30%，中位数 0.55%。 主 要 结 论 一 国信金工指数增强组合表现跟踪 国信金工指数增强组合的构建流程主要包括收益预测、风险控制和组合优化三块，我们分别以 ...

Group 1 - The core viewpoint of the article is to track the performance of index-enhanced portfolios and stock selection factors across different indices, highlighting their excess returns and the effectiveness of various stock selection factors [1][2][14]. Group 2 - The performance of the CSI 300 index-enhanced portfolio showed an excess return of -1.25% for the week and 1.61% year-to-date [1][2]. - The performance of the CSI 500 index-enhanced portfolio indicated an excess return of -1.53% for the week and 2.17% year-to-date [1][2]. - The performance of the CSI 1000 index-enhanced portfolio recorded an excess return of -0.88% for the week and 3.15% year-to-date [1][2]. Group 3 - In the CSI 300 sample space, factors such as non-liquidity shock, three-month turnover, and one-month turnover performed well recently [4][5]. - In the CSI 500 sample space, factors like expected net profit month-on-month, non-liquidity shock, and three-month earnings adjustments showed strong performance [6][8]. - In the CSI 1000 sample space, factors including three-month institutional coverage and turnover metrics performed well [9][10]. Group 4 - The public fund index-enhanced products for the CSI 300 had a maximum excess return of 1.04% and a minimum of -2.85% for the week, with a median of -0.53% [16]. - The public fund index-enhanced products for the CSI 500 had a maximum excess return of 0.86% and a minimum of -1.80% for the week, with a median of -0.62% [18]. - The public fund index-enhanced products for the CSI 1000 had a maximum excess return of 0.86% and a minimum of -1.80% for the week, with a median of -0.62% [18]. Group 5 - The total number of public fund index-enhanced products includes 67 for the CSI 300 with a total scale of 81.5 billion, 68 for the CSI 500 with a total scale of 49.3 billion, and 46 for the CSI 1000 with a total scale of 16.9 billion [15].

一、券商金股股票池上月回顾 2025年3月，胜宏科技、科锐国际、芯原股份等券商金股股票的月度上涨幅度靠 前。 2025年3月，长江证券、国盛证券、招商证券收益排名前三，月度收益分别为 7.59%、7.41%、5.94%，同期偏股混合型基金指数收益0.20%，沪深300指数收 益-0.07%。 2025年以来，华鑫证券、东北证券、国联证券收益排名前三，年度收益分别为 33.12%、23.23%、16.52%，同期偏股混合型基金指数收益4.65%，沪深300指数收 益-1.21%。 二、券商金股股票池中选股因子表现 最近一个月，单季度ROE、单季度净利润增速、分析师净上调幅度表现较好，盈 余公告后跳空超额、单季度营收增速、波动率表现较差； 今年以来，总市值、经营性现金净流量、SUE表现较好，分析师净上调比例、预 期股息率、波动率表现较差。 三、券商金股股票池本月特征 截至2025年4月1日，共有41家券商发布本月金股。在对券商金股股票池进行去重 后，总共有259只A股。 从绝对占比来看，本期券商金股在电子(10.11%)、机械(7.98%)、医药(7.18%)、有 色金属(6.65%)、基础化工(6.12%)行业 ...

Group 1 - The core viewpoint of the article highlights the performance of various index-enhanced portfolios, indicating that the CSI 300 and CSI 500 index-enhanced portfolios achieved positive excess returns, while the CSI 1000 index-enhanced portfolio experienced a slight decline in excess returns this week [1][2][18]. Group 2 - The CSI 300 index-enhanced portfolio recorded an excess return of 0.44% this week and 0.80% year-to-date [1][2]. - The CSI 500 index-enhanced portfolio also achieved an excess return of 0.44% this week and 1.81% year-to-date [1][2]. - The CSI 1000 index-enhanced portfolio saw a decrease of 0.13% in excess return this week, with a year-to-date excess return of 0.50% [1][2]. Group 3 - In the CSI 300 component stocks, factors such as three-month turnover, dividend yield, and one-month turnover performed well [5]. - For the CSI 500 component stocks, factors like executive compensation, expected net profit month-on-month, and dividend yield showed strong performance [6]. - In the CSI 1000 component stocks, factors such as expected PEG, SPTTM, and one-month volatility performed well [10]. Group 4 - The public fund index-enhanced products for the CSI 300 had a maximum excess return of 1.67%, a minimum of -2.70%, and a median of 0.11% this week [18]. - The CSI 500 index-enhanced products had a maximum excess return of 1.55%, a minimum of -0.45%, and a median of 0.38% this week [19]. - The CSI 1000 index-enhanced products recorded a maximum excess return of 1.59%, a minimum of -0.87%, and a median of 0.30% this week [21].