Quantitative Factors and Construction Methods 1. Factor Name: Stability of the Growth Rate of Turnover Rate (GTR) - **Factor Construction Idea**: The GTR factor identifies stocks with stable growth or decline in turnover rate, which may indicate potential for future price increases. The factor captures the "acceleration" of turnover rate changes and emphasizes stability in these changes[6][7]. - **Factor Construction Process**: The GTR factor is derived from turnover rate data, focusing on the stability of its growth rate. Specific details on the mathematical formula or calculation process are not provided in the report[6][7]. - **Factor Evaluation**: The GTR factor demonstrates low correlation (less than 0.1) with other turnover rate factors in the same series, enhancing its uniqueness and effectiveness in stock selection[6]. 2. Factor Name: Purely Enhanced TPS_Turbo - **Factor Construction Idea**: The TPS_Turbo factor is created by applying a "purely enhanced" method to combine the GTR factor with other turnover-related factors (Turn20 and STR), aiming to improve stock selection performance[6]. - **Factor Construction Process**: The TPS_Turbo factor is constructed by integrating the GTR factor with Turn20 and STR using a purely enhanced methodology. The exact mathematical process or formula is not detailed in the report[6]. - **Factor Evaluation**: The TPS_Turbo factor exhibits strong stock selection capabilities, as evidenced by its high performance metrics in backtesting[6]. 3. Factor Name: Purely Enhanced SPS_Turbo - **Factor Construction Idea**: Similar to TPS_Turbo, the SPS_Turbo factor is derived by combining the GTR factor with other turnover-related factors using the purely enhanced methodology, with a focus on further improving stock selection[6]. - **Factor Construction Process**: The SPS_Turbo factor is constructed by integrating the GTR factor with other turnover-related factors using the same purely enhanced methodology as TPS_Turbo. Specific details on the formula are not provided[6]. - **Factor Evaluation**: The SPS_Turbo factor demonstrates the highest stock selection performance among the factors discussed, with superior backtesting results[6]. --- Factor Backtesting Results 1. Stability of the Growth Rate of Turnover Rate (GTR) - **Annualized Return**: 13.29%[7][11] - **Annualized Volatility**: 10.24%[7][11] - **IR**: 1.30[7][11] - **Monthly Win Rate**: 67.09%[7][11] - **Maximum Drawdown**: 10.81%[7][11] 2. Purely Enhanced TPS_Turbo - **Annualized Return**: 36.31%[7][11] - **Annualized Volatility**: 13.21%[7][11] - **IR**: 2.75[7][11] - **Monthly Win Rate**: 78.63%[7][11] - **Maximum Drawdown**: 9.86%[7][11] 3. Purely Enhanced SPS_Turbo - **Annualized Return**: 37.33%[7][11] - **Annualized Volatility**: 10.88%[7][11] - **IR**: 3.43[7][11] - **Monthly Win Rate**: 81.62%[7][11] - **Maximum Drawdown**: 7.22%[7][11] --- Monthly Performance (July 2025) 1. Stability of the Growth Rate of Turnover Rate (GTR) - **Long Portfolio Return**: 0.96%[14] - **Short Portfolio Return**: 0.36%[14] - **Long-Short Portfolio Return**: 0.60%[14] 2. Purely Enhanced TPS_Turbo - **Long Portfolio Return**: 1.15%[15] - **Short Portfolio Return**: 0.03%[15] - **Long-Short Portfolio Return**: 1.12%[15] 3. Purely Enhanced SPS_Turbo - **Long Portfolio Return**: 1.17%[19] - **Short Portfolio Return**: 0.11%[19] - **Long-Short Portfolio Return**: 1.06%[19]

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]