证券研究报告·金融工程·金工定期报告 金工定期报告 20250806 换手率变化率的稳定 GTR 选股因子绩效月 报 20250731 [Table_Tag] [Table_Summary] 报告要点 2025 年 08 月 06 日 证券分析师 高子剑 执业证书：S0600518010001 021-60199793 gaozj@dwzq.com.cn 证券分析师 凌志杰 执业证书：S0600525040007 lingzhj@dwzq.com.cn 相关研究 《换手率变化率的稳定 GTR 因子— —助推换手率的所有家族成员》 2023-05-16 《换手率变化率的稳定 GTR 选股因 子绩效月报 20250430》 2025-05-07 东吴证券研究所 1 / 8 请务必阅读正文之后的免责声明部分 ◼ 换手率变化率的稳定 GTR 因子多空对冲绩效（全市场）：2006 年 1 月 至 2025 年 7 月，换手率变化率的稳定 GTR 因子在全体 A 股中，10 分 组多空对冲的年化收益率为 13.29%，年化波动为 10.24%，信息比率为 1.30，月度胜率为 67.09%，月度最大回撤为 10.81%； ...

Quantitative Factors and Construction Methods Factor Name: Beta - Construction Idea: Measures the sensitivity of a stock's returns to market returns[14] - Construction Process: Calculated using the weighted regression of individual stock returns against market returns over the last 490 trading days[14] - Evaluation: Beta factor performed well in the recent week[8][10] Factor Name: Turnover Rate and Average Price Correlation (1 Month) - Construction Idea: Measures the correlation between turnover rate and average price over the past month[13] - Construction Process: Calculated as the correlation coefficient between turnover rate and average price over the past 20 trading days[13] - Evaluation: This factor showed good performance in the recent week and month[8][10] Factor Name: Turnover Rate Volatility (1 Month) - Construction Idea: Measures the volatility of turnover rate over the past month[13] - Construction Process: Calculated as the standard deviation of turnover rate over the past 20 trading days[13] - Evaluation: This factor performed well in the recent month and year[8][10] Factor Name: Reversal (1 Month) - Construction Idea: Measures the cumulative returns over the past month[13] - Construction Process: Calculated as the cumulative returns over the past 20 trading days[13] - Evaluation: This factor showed good performance in the recent week and month[8][10] Factor Name: Specificity (1 Month) - Construction Idea: Measures the specificity of stock returns relative to the Fama-French three-factor model[13] - Construction Process: Calculated as 1 minus the R-squared value from the regression of daily returns against the Fama-French three factors over the past 20 trading days[13] - Evaluation: This factor performed well in the recent year[8][10] Factor Name: Residual Volatility (Fama-French Three-Factor Model, 1 Month) - Construction Idea: Measures the residual volatility of stock returns relative to the Fama-French three-factor model[13] - Construction Process: Calculated as the standard deviation of residuals from the regression of daily returns against the Fama-French three factors over the past 20 trading days[13] - Evaluation: This factor showed good performance in the recent year[8][10] Factor Name: Excess Return Volatility (1 Month) - Construction Idea: Measures the volatility of excess returns over the past month[13] - Construction Process: Calculated as the standard deviation of excess returns over the past 20 trading days[13] - Evaluation: This factor performed well in the recent year[8][10] Factor Name: Small Market Capitalization - Construction Idea: Measures the logarithm of market capitalization[13] - Construction Process: Calculated as the logarithm of market capitalization[13] - Evaluation: This factor showed good performance in the recent week and year[8][10] Factor Backtesting Results Information Coefficient (IC) Performance - Beta: Recent week IC: 13.69%, Recent month IC: 0.85%, Recent year IC: 1.73%, Historical IC: 0.44%[9] - Turnover Rate and Average Price Correlation (1 Month): Recent week IC: 11.30%, Recent month IC: 7.07%, Recent year IC: 2.49%, Historical IC: 1.70%[9] - Turnover Rate Volatility (1 Month): Recent week IC: 6.15%, Recent month IC: 5.29%, Recent year IC: 2.99%, Historical IC: 2.51%[9] - Reversal (1 Month): Recent week IC: 11.08%, Recent month IC: 4.52%, Recent year IC: 2.87%, Historical IC: 2.15%[9] - Specificity (1 Month): Recent week IC: 11.05%, Recent month IC: 3.76%, Recent year IC: 3.63%, Historical IC: 2.41%[9] - Residual Volatility (Fama-French Three-Factor Model, 1 Month): Recent week IC: 5.42%, Recent month IC: 3.27%, Recent year IC: 3.62%, Historical IC: 2.48%[9] - Excess Return Volatility (1 Month): Recent week IC: -0.20%, Recent month IC: 1.88%, Recent year IC: 3.29%, Historical IC: 2.18%[9] - Small Market Capitalization: Recent week IC: 7.12%, Recent month IC: 2.70%, Recent year IC: 2.03%, Historical IC: 1.89%[9] Long Portfolio Performance - Beta: Recent week excess return: 1.08%, Recent month excess return: -0.75%, Recent year excess return: 6.46%, Historical cumulative excess return: -5.34%[11] - Turnover Rate and Average Price Correlation (1 Month): Recent week excess return: 1.08%, Recent month excess return: 2.92%, Recent year excess return: 2.72%, Historical cumulative excess return: 16.63%[11] - Turnover Rate Volatility (1 Month): Recent week excess return: 0.93%, Recent month excess return: 1.96%, Recent year excess return: 10.68%, Historical cumulative excess return: 32.01%[11] - Reversal (1 Month): Recent week excess return: 0.37%, Recent month excess return: 0.22%, Recent year excess return: 0.75%, Historical cumulative excess return: -1.18%[11] - Specificity (1 Month): Recent week excess return: 0.67%, Recent month excess return: 0.67%, Recent year excess return: 10.17%, Historical cumulative excess return: 16.91%[11] - Residual Volatility (Fama-French Three-Factor Model, 1 Month): Recent week excess return: 0.34%, Recent month excess return: 0.82%, Recent year excess return: 8.10%, Historical cumulative excess return: 18.57%[11] - Excess Return Volatility (1 Month): Recent week excess return: 0.02%, Recent month excess return: 0.09%, Recent year excess return: 7.20%, Historical cumulative excess return: 10.83%[11] - Small Market Capitalization: Recent week excess return: 0.95%, Recent month excess return: 0.12%, Recent year excess return: 10.84%, Historical cumulative excess return: 59.20%[11]

Quantitative Factors and Construction Methods - **Factor Name**: bp **Construction Idea**: Measures valuation by comparing net assets to market value **Construction Process**: Calculated as: $ bp = \frac{\text{Current Net Assets}}{\text{Current Total Market Value}} $ [13] **Evaluation**: Commonly used valuation factor, straightforward and widely applicable [13] - **Factor Name**: bp three-year percentile **Construction Idea**: Tracks the relative valuation of a stock over the past three years **Construction Process**: Represents the percentile rank of the current bp value within the last three years [13] **Evaluation**: Useful for identifying stocks with consistent valuation trends [13] - **Factor Name**: Quarterly ep **Construction Idea**: Measures profitability relative to net assets **Construction Process**: Calculated as: $ \text{Quarterly ep} = \frac{\text{Quarterly Net Profit}}{\text{Net Assets}} $ [13] **Evaluation**: Reflects short-term profitability, sensitive to quarterly fluctuations [13] - **Factor Name**: Quarterly ep one-year percentile **Construction Idea**: Tracks the relative profitability of a stock over the past year **Construction Process**: Represents the percentile rank of the current quarterly ep value within the last year [13] **Evaluation**: Helps identify stocks with improving or declining profitability trends [13] - **Factor Name**: Quarterly sp **Construction Idea**: Measures revenue generation relative to net assets **Construction Process**: Calculated as: $ \text{Quarterly sp} = \frac{\text{Quarterly Revenue}}{\text{Net Assets}} $ [13] **Evaluation**: Indicates operational efficiency, useful for growth-oriented analysis [13] - **Factor Name**: Quarterly sp one-year percentile **Construction Idea**: Tracks the relative operational efficiency of a stock over the past year **Construction Process**: Represents the percentile rank of the current quarterly sp value within the last year [13] **Evaluation**: Highlights trends in revenue generation efficiency [13] - **Factor Name**: Quarterly asset turnover **Construction Idea**: Measures revenue generation relative to total assets **Construction Process**: Calculated as: $ \text{Quarterly Asset Turnover} = \frac{\text{Quarterly Revenue}}{\text{Total Assets}} $ [13] **Evaluation**: Reflects operational efficiency, sensitive to asset-heavy industries [13] - **Factor Name**: Quarterly gross margin **Construction Idea**: Measures profitability relative to sales revenue **Construction Process**: Calculated as: $ \text{Quarterly Gross Margin} = \frac{\text{Quarterly Gross Profit}}{\text{Quarterly Sales Revenue}} $ [13] **Evaluation**: Indicates pricing power and cost control [13] - **Factor Name**: Quarterly roa **Construction Idea**: Measures profitability relative to total assets **Construction Process**: Calculated as: $ \text{Quarterly ROA} = \frac{\text{Quarterly Net Profit}}{\text{Total Assets}} $ [13] **Evaluation**: Reflects overall asset efficiency [13] - **Factor Name**: Quarterly roe **Construction Idea**: Measures profitability relative to net assets **Construction Process**: Calculated as: $ \text{Quarterly ROE} = \frac{\text{Quarterly Net Profit}}{\text{Net Assets}} $ [13] **Evaluation**: Commonly used profitability metric, sensitive to leverage [13] - **Factor Name**: Standardized unexpected earnings **Construction Idea**: Measures deviation of current earnings from historical growth trends **Construction Process**: Calculated as: $ \text{Standardized Unexpected Earnings} = \frac{\text{Current Quarterly Net Profit} - (\text{Last Year Same Quarter Net Profit} + \text{Average Growth of Last 8 Quarters})}{\text{Standard Deviation of Growth in Last 8 Quarters}} $ [13] **Evaluation**: Useful for identifying earnings surprises [13] - **Factor Name**: Standardized unexpected revenue **Construction Idea**: Measures deviation of current revenue from historical growth trends **Construction Process**: Calculated as: $ \text{Standardized Unexpected Revenue} = \frac{\text{Current Quarterly Revenue} - (\text{Last Year Same Quarter Revenue} + \text{Average Growth of Last 8 Quarters})}{\text{Standard Deviation of Growth in Last 8 Quarters}} $ [13] **Evaluation**: Highlights revenue surprises [13] - **Factor Name**: Dividend yield **Construction Idea**: Measures dividend payout relative to market value **Construction Process**: Calculated as: $ \text{Dividend Yield} = \frac{\text{Annual Dividend}}{\text{Current Market Value}} $ [13] **Evaluation**: Commonly used for income-focused strategies [13] - **Factor Name**: 1-month turnover rate volatility **Construction Idea**: Measures the variability of turnover rates over the past month **Construction Process**: Calculated as the standard deviation of daily turnover rates over the past 20 trading days [13] **Evaluation**: Reflects liquidity and trading activity [13] - **Factor Name**: Fama-French three-factor residual volatility **Construction Idea**: Measures the volatility of residuals from a Fama-French three-factor model regression **Construction Process**: Calculated as the standard deviation of residuals from daily returns regressed on the Fama-French three factors over the past 20 trading days [13] **Evaluation**: Indicates idiosyncratic risk [13] Factor Backtesting Results - **Factor Name**: bp **IC Values**: Weekly: -8.41%, Monthly: 3.48%, Yearly: 1.72% [8] **Excess Return**: Weekly: -0.18%, Monthly: 1.03%, Yearly: 3.10% [11] - **Factor Name**: bp three-year percentile **IC Values**: Weekly: 2.04%, Monthly: 7.90%, Yearly: 2.82% [8] **Excess Return**: Weekly: 0.67%, Monthly: 0.82%, Yearly: 2.55% [11] - **Factor Name**: Quarterly ep **IC Values**: Weekly: -5.19%, Monthly: 3.65%, Yearly: 0.24% [8] **Excess Return**: Weekly: -1.30%, Monthly: -0.08%, Yearly: 1.51% [11] - **Factor Name**: Quarterly ep one-year percentile **IC Values**: Weekly: 1.73%, Monthly: 4.68%, Yearly: 1.02% [8] **Excess Return**: Weekly: -0.35%, Monthly: 0.93%, Yearly: 4.35% [11] - **Factor Name**: Quarterly sp **IC Values**: Weekly: -5.87%, Monthly: -1.49%, Yearly: 0.18% [8] **Excess Return**: Weekly: -0.28%, Monthly: -1.23%, Yearly: 0.24% [11] - **Factor Name**: Quarterly sp one-year percentile **IC Values**: Weekly: 1.93%, Monthly: 7.04%, Yearly: 2.70% [8] **Excess Return**: Weekly: -0.66%, Monthly: 0.55%, Yearly: 3.80% [11] - **Factor Name**: Standardized unexpected earnings **IC Values**: Weekly: 0.24%, Monthly: 2.19%, Yearly: 0.64% [8] **Excess Return**: Weekly: -0.60%, Monthly: -0.75%, Yearly: 3.99% [11] - **Factor Name**: Standardized unexpected revenue **IC Values**: Weekly: -1.03%, Monthly: 0.72%, Yearly: 0.61% [8] **Excess Return**: Weekly: -0.41%, Monthly: -0.72%, Yearly: 1.55% [11] - **Factor Name**: Dividend yield **IC Values**: Weekly: -2.91%, Monthly: 1.85%, Yearly: -0.07% [8] **Excess Return**: Weekly: -0.37%, Monthly: 1.27%, Yearly: -4.85% [11]