Quantitative Factors and Construction - **Factor Name**: Renewed Correlation of Price and Volume (RPV) **Construction Idea**: The RPV factor integrates intraday and overnight price-volume correlation information, leveraging the reversal and momentum effects of price-volume relationships. It incorporates "volume" information into correlation metrics to enhance factor effectiveness [6][1][7] **Construction Process**: 1. Identify the best representatives for intraday and overnight price-volume correlations: CCOIV (intraday) and COV (overnight) [6] 2. Enhance reversal effects using turnover rate sequences for intraday price-volume correlation [6] 3. Strengthen overnight momentum effects by incorporating "yesterday's volume" into overnight price-volume relationships [6] 4. Combine intraday and overnight correlation information into a unified factor, RPV, to serve a single objective [6] **Evaluation**: The RPV factor is described as "novel and effective," capable of capturing both reversal and momentum effects in price-volume relationships [1][6] - **Factor Name**: Smart Renewed Correlation of Price and Volume (SRV) **Construction Idea**: The SRV factor refines intraday price-volume correlation by splitting daily price movements into morning and afternoon segments, and incorporates "smart" turnover metrics to identify informed trading periods. It combines improved intraday and overnight correlation metrics for enhanced performance [1][6][7] **Construction Process**: 1. Split daily price movements into morning and afternoon segments [1][6] 2. Calculate "smart" metrics for afternoon trading, identifying the top 20% (24 minutes) of informed trading periods [1][6] 3. Use "smart turnover rate" and afternoon price movements to compute intraday correlation [1][6] 4. Replace turnover rate with the last 30-minute turnover rate of the previous day for overnight correlation [1][6] 5. Combine the refined intraday and overnight correlation metrics into the SRV factor [1][6] **Evaluation**: The SRV factor is considered superior to RPV, with better performance metrics and lower drawdowns [1][6] Factor Backtesting Results - **RPV Factor**: - Annualized Return: 14.17% [7][10] - Annualized Volatility: 7.73% [7][10] - IR: 1.83 [7][10] - Monthly Win Rate: 71.94% [7][10] - Maximum Drawdown: 10.63% [7][10] - **SRV Factor**: - Annualized Return: 16.89% [7][10] - Annualized Volatility: 6.51% [7][10] - IR: 2.59 [7][10] - Monthly Win Rate: 74.10% [7][10] - Maximum Drawdown: 3.87% [7][10] August Performance Results - **RPV Factor**: - Long Portfolio Return: 7.29% [10][11] - Short Portfolio Return: 8.88% [10][11] - Long-Short Portfolio Return: -1.59% [10][11] - **SRV Factor**: - Long Portfolio Return: 7.55% [10][11] - Short Portfolio Return: 8.78% [10][11] - Long-Short Portfolio Return: -1.23% [10][11]

证券研究报告·金融工程·金工定期报告 金工定期报告 20250701 证券分析师 高子剑 执业证书：S0600518010001 021-60199793 gaozj@dwzq.com.cn 证券分析师 庞格致 执业证书：S0600524090003 panggz@dwzq.com.cn 证券分析师 凌志杰 执业证书：S0600525040007 lingzhj@dwzq.com.cn 相关研究 新价量相关性因子绩效月报 20250630 2025 年 07 月 01 日 [Table_Tag] [Table_Summary] 报告要点 《 新 价 量 相 关 性 因 子 绩 效 月 报 20250530》 2025-06-06 《"技术分析拥抱选股因子"系列研究 （十四）：RPV 聪明版——聪明换手率 是更好的配料》 2023-09-27 东吴证券研究所 1 / 7 请务必阅读正文之后的免责声明部分 ◼ 新价量相关性 RPV 因子多空对冲绩效（全市场）：2014 年 1 月至 2025 年 6 月，新价量相关性 RPV 因子在全体 A 股（剔除北交所股票）中， 10 分组多空对冲的年化收益为 14.57%， ...