- The Stability of Turnover Rate (STR) factor was constructed to evaluate the stability of daily turnover rates, aiming to improve stock selection efficiency by focusing on turnover rate stability rather than absolute turnover rate values [1][8][9] - STR factor construction involves calculating the stability of daily turnover rates using simple daily frequency data, referencing the methodology of the Uniformity of Turnover Rate Distribution (UTD) factor, which analyzes turnover rate distribution uniformity based on minute-level data [8] - STR factor performance metrics include annualized return of 40.88%, annualized volatility of 14.45%, IR of 2.83, monthly win rate of 76.79%, and maximum monthly drawdown of 9.96% during the period from January 2006 to October 2025 [9][12] - STR factor monthly performance in October 2025 showed a long portfolio return of 4.62%, a short portfolio return of -1.43%, and a long-short portfolio return of 6.06% [10] - Traditional turnover rate factor (Turn20), calculated as the average daily turnover rate over the past 20 trading days with market capitalization neutralization, demonstrated a monthly IC mean of -0.072, annualized ICIR of -2.10, annualized return of 33.41%, IR of 1.90, and monthly win rate of 71.58% from January 2006 to April 2021 [6] - Turnover rate factor logic indicates stocks with lower turnover rates in the past month are more likely to rise in the following month, while stocks with higher turnover rates are more likely to decline, though this logic has limitations due to significant intra-group return variance in high-turnover portfolios [7] - STR factor evaluation highlights its simplicity and effectiveness in stock selection, even after removing common style and industry biases, showcasing robust performance [1][8]