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]

- Factor Name: Turnover Distribution Uniformity (UTD) Factor[1][6] - Factor 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][6] - Factor Construction Process: 1. Collect minute-level trading volume data for individual stocks[1][6] 2. Calculate the turnover distribution uniformity for each stock[1][6] 3. Construct the UTD factor by evaluating the uniformity of turnover distribution[1][6] - Factor Evaluation: The UTD factor significantly reduces the misjudgment rate of stock samples and performs better in stock selection compared to traditional factors[1][6] Factor Backtesting Results - UTD Factor, Annualized Return: 19.96%[1][6][11] - UTD Factor, Annualized Volatility: 7.44%[1][6][11] - UTD Factor, Information Ratio (IR): 2.68[1][6][11] - UTD Factor, Monthly Win Rate: 76.98%[1][6][11] - UTD Factor, Maximum Monthly Drawdown: 5.51%[1][6][11] - UTD Factor, July 2025 Long Portfolio Return: 0.81%[1][10] - UTD Factor, July 2025 Short Portfolio Return: 0.25%[1][10] - UTD Factor, July 2025 Long-Short Portfolio Return: 0.56%[1][10]