- The report introduces the "Information Distribution Uniformity (UID) factor" as a stock selection factor, which is constructed using minute-level data of individual stocks to calculate daily high-frequency volatility[1][6] - The UID factor significantly outperforms traditional volatility factors in stock selection, even after removing the interference of commonly used market styles and industries, with an annualized ICIR of -3.17[1] - The performance of the UID factor from January 2014 to September 2025 includes an annualized return of 26.48%, annualized volatility of 9.88%, an information ratio (IR) of 2.68, a monthly win rate of 78.72%, and a maximum monthly drawdown of 6.05%[1][7][12] - In September 2025, the 10-group long portfolio of the UID factor in the entire A-share market had a return of 1.84%, the 10-group short portfolio had a return of 0.04%, and the 10-group long-short hedged portfolio had a return of 1.80%[1][11] - The construction process of the UID factor involves using minute-level price data to calculate the high-frequency volatility of individual stocks and then constructing the UID factor based on the uniformity of information distribution[1][6] - The report highlights that the UID factor, despite being a single factor, shows good stock selection ability and can be a valuable addition to the factor library[1][6]

- The "Information Distribution Uniformity" (UID) factor is introduced as part of the "volatility stock selection factor" series, aiming to improve traditional volatility factors by leveraging high-frequency minute-level data to construct a more effective stock selection factor[6][7][10] - The construction process of the UID factor involves calculating daily high-frequency volatility using minute-level stock data and then deriving the UID factor to measure the uniformity of information distribution. This factor is designed to outperform traditional volatility factors in stock selection[6][10] - The formula for constructing the UID factor is not explicitly provided in the report, but the methodology emphasizes the use of high-frequency data and the removal of market style and industry interference to ensure the purity of the factor[6][10] - The UID factor demonstrates strong performance metrics in backtesting, with an annualized return of 26.53%, annualized volatility of 9.92%, an information ratio (IR) of 2.68, a monthly win rate of 79.14%, and a maximum monthly drawdown of 6.05% over the period from January 2014 to July 2025[7][10] - In July 2025, the UID factor's 10-group long portfolio achieved a return of 0.61%, the short portfolio achieved a return of 0.44%, and the long-short hedged portfolio achieved a return of 0.17%[10]

Quantitative Factors and Construction Methods 1. Factor Name: Information Distribution Uniformity (UID) Factor - **Factor Construction Idea**: The UID factor is constructed based on high-frequency volatility data, aiming to improve the traditional volatility factors by capturing the uniformity of information distribution across stocks. It significantly outperforms traditional volatility factors in stock selection[6][7]. - **Factor Construction Process**: 1. Use minute-level stock data to calculate daily high-frequency volatility. 2. Construct the UID factor by measuring the uniformity of information distribution, leveraging the minute-level price fluctuation data. 3. Exclude the interference of common market styles and industry factors to ensure the purity of the UID factor[6][10]. - **Factor Evaluation**: The UID factor demonstrates strong stock selection ability, even after removing the influence of market and industry factors. It provides a significant improvement over traditional volatility factors[6][7]. --- Factor Backtesting Results 1. Information Distribution Uniformity (UID) Factor - **Annualized Return**: 26.99%[7][10] - **Annualized Volatility**: 9.98%[7][10] - **Information Ratio (IR)**: 2.70[7][10] - **Monthly Win Rate**: 79.26%[7][10] - **Maximum Drawdown**: 6.05%[7][10] - **April 2025 Performance**: - Long Portfolio Return: -0.07% - Short Portfolio Return: -3.78% - Long-Short Portfolio Return: 3.72%[10]