Quantitative Models and Construction Methods - **Model Name**: "Day and Night Convergence" New Momentum Factor **Model Construction Idea**: The model is based on the price-volume relationship during intraday and overnight trading sessions. It improves traditional momentum factors by incorporating transaction volume information and separating the trading periods into day and night to explore their respective characteristics and logic[6][7] **Model Construction Process**: 1. The trading period is divided into intraday and overnight sessions 2. The price-volume relationship is analyzed separately for each session to identify distinct features 3. The improved intraday and overnight factors are synthesized into a new momentum factor 4. The factor is tested on the entire A-share market (excluding Beijing Stock Exchange stocks) from February 2014 to October 2025, using a 10-group long-short hedging strategy[7] **Model Evaluation**: The model demonstrates significant stock selection ability, outperforming traditional momentum factors in terms of stability and performance[6][7] Model Backtesting Results - **"Day and Night Convergence" New Momentum Factor**: - Annualized Return: 18.15% - Annualized Volatility: 8.68% - Information Ratio (IR): 2.09 - Monthly Win Rate: 78.01% - Maximum Drawdown: 9.07%[1][7][14] Quantitative Factors and Construction Methods - **Factor Name**: "Day and Night Convergence" New Momentum Factor **Factor Construction Idea**: The factor leverages the distinct characteristics of price-volume relationships during intraday and overnight trading sessions to enhance the signal strength of momentum factors[7] **Factor Construction Process**: 1. Separate the trading period into intraday and overnight sessions 2. Analyze the price-volume relationship for each session to identify unique features 3. Combine the improved intraday and overnight factors into a single momentum factor 4. Test the factor on the entire A-share market (excluding Beijing Stock Exchange stocks) from February 2014 to October 2025, using a 10-group long-short hedging strategy[7] **Factor Evaluation**: The factor significantly outperforms traditional momentum factors, with higher stability and better stock selection ability[6][7] Factor Backtesting Results - **"Day and Night Convergence" New Momentum Factor**: - Annualized Return: 18.15% - Annualized Volatility: 8.68% - Information Ratio (IR): 2.09 - Monthly Win Rate: 78.01% - Maximum Drawdown: 9.07%[1][7][14] - **Traditional Momentum Factor**: - Information Ratio (IR): 1.09 - Monthly Win Rate: 62.75% - Maximum Drawdown: 20.35%[6] October 2025 Performance - **"Day and Night Convergence" New Momentum Factor**: - Long Portfolio Return: 0.85% - Short Portfolio Return: -2.35% - Long-Short Hedging Return: 3.20%[1][10]

- Model Name: "Day and Night Convergence" New Momentum Factor; Model Construction Idea: Based on the price-volume relationship during the day and overnight, the intraday factor and overnight factor are improved and then recombined into a new momentum factor[1][7] - Model Construction Process: 1. Split the trading period into day and night sessions[7] 2. Explore the price-volume relationship in each session separately[7] 3. Construct the "Day and Night Convergence" new momentum factor based on the findings[7] - Model Evaluation: The new factor significantly outperforms the traditional momentum factor in terms of stock selection ability[6][7] - Factor Name: "Day and Night Convergence" New Momentum Factor; Factor Construction Idea: Incorporate the information of "trading volume" into the previous "momentum factor segmentation" research to further explore the differences in investor trading behavior[7] - Factor Construction Process: 1. Split the trading period into day and night sessions[7] 2. Explore the price-volume relationship in each session separately[7] 3. Construct the "Day and Night Convergence" new momentum factor based on the findings[7] - Factor Evaluation: The new factor significantly outperforms the traditional momentum factor in terms of stock selection ability[6][7] Model Backtest Results - "Day and Night Convergence" New Momentum Factor, Annualized Return: 17.95%, Annualized Volatility: 8.70%, IR: 2.06, Monthly Win Rate: 77.86%, Maximum Drawdown: 9.07%[1][7][14] Factor Backtest Results - "Day and Night Convergence" New Momentum Factor, Annualized Return: 17.95%, Annualized Volatility: 8.70%, IR: 2.06, Monthly Win Rate: 77.86%, Maximum Drawdown: 9.07%[1][7][14]

- The "Day and Night Convergence" new momentum factor is constructed based on the price-volume relationship during intraday and overnight trading periods, aiming to improve the stability of traditional momentum factors by incorporating transaction volume information[7][6][1] - The construction process involves splitting trading periods into day and night sessions, analyzing their respective price-volume relationships, and synthesizing a new momentum factor. The factor's IC mean is -0.045, annualized ICIR is -2.59, and its 10-group long-short strategy achieved an annualized return of 22.64%, IR of 2.85, monthly win rate of 83.33%, and maximum drawdown of 5.79% during the backtest period from 2014/01/01 to 2022/07/31[7][6][1] - The factor demonstrates superior stock selection ability compared to traditional momentum factors, which had an IR of 1.09, monthly win rate of 62.75%, and maximum drawdown of 20.35% during the same backtest period[6][7] - In the full A-share market (excluding Beijing Stock Exchange stocks), the "Day and Night Convergence" factor's 10-group long-short strategy achieved an annualized return of 17.93%, annualized volatility of 8.73%, IR of 2.05, monthly win rate of 76.98%, and maximum drawdown of 9.07% from February 2014 to August 2025[14][7][1] - For August 2025, the factor's 10-group long portfolio returned 9.49%, the short portfolio returned 9.58%, and the long-short strategy returned -0.10%[10][1]

Quantitative Models and Construction Methods 1. Model Name: "Day and Night Convergence" New Momentum Factor - **Model Construction Idea**: The model improves traditional momentum factors by incorporating the price-volume relationship during intraday and overnight trading sessions, leveraging the distinct characteristics of these two periods to enhance signal strength and stability [7][6] - **Model Construction Process**: 1. The trading period is divided into intraday and overnight sessions [7] 2. Price-volume relationships are separately analyzed for each session to identify unique patterns and characteristics [7] 3. The insights from these analyses are combined to construct a new momentum factor, referred to as the "Day and Night Convergence" factor [7] - **Model Evaluation**: The model demonstrates significant improvement in stability and performance compared to traditional momentum factors, effectively addressing the instability issues observed in the A-share market [6][7] --- Model Backtesting Results 1. "Day and Night Convergence" New Momentum Factor - **Annualized Return**: 18.08% [14] - **Annualized Volatility**: 8.75% [14] - **Information Ratio (IR)**: 2.07 [14] - **Monthly Win Rate**: 77.54% [14] - **Maximum Drawdown**: 9.07% [14]

Quantitative Models and Construction Methods 1. Model Name: "Day and Night Convergence" New Momentum Factor - **Model Construction Idea**: This model improves traditional momentum factors by incorporating the price-volume relationship during intraday and overnight trading periods. It aims to capture distinct characteristics and logic in these two periods to enhance the stability and effectiveness of momentum signals [6][7]. - **Model Construction Process**: 1. The trading session is divided into intraday and overnight periods. 2. The price-volume relationship is separately analyzed for each period. 3. Based on these analyses, the intraday and overnight factors are improved and synthesized into a new momentum factor [7]. - **Model Evaluation**: The model demonstrates significant stock selection ability, outperforming traditional momentum factors in terms of stability and performance [6][7]. --- Model Backtesting Results 1. "Day and Night Convergence" New Momentum Factor - **Annualized Return**: 18.15% [7][14] - **Annualized Volatility**: 8.79% [7][14] - **Information Ratio (IR)**: 2.07 [7][14] - **Monthly Win Rate**: 77.37% [7][14] - **Maximum Drawdown**: 9.07% [7][14] --- Quantitative Factors and Construction Methods 1. Factor Name: "Day and Night Convergence" New Momentum Factor - **Factor Construction Idea**: The factor is based on the price-volume relationship during intraday and overnight trading periods. It leverages the distinct characteristics of these periods to refine momentum signals [7]. - **Factor Construction Process**: 1. Divide the trading session into intraday and overnight periods. 2. Analyze the price-volume relationship for each period. 3. Construct separate momentum factors for intraday and overnight periods. 4. Synthesize the two factors into a new momentum factor [7]. - **Factor Evaluation**: The factor shows superior performance compared to traditional momentum factors, with higher stability and stock selection capability [6][7]. --- Factor Backtesting Results 1. "Day and Night Convergence" New Momentum Factor - **Annualized Return**: 22.64% [6] - **Information Ratio (IR)**: 2.85 [6] - **Monthly Win Rate**: 83.33% [6] - **Maximum Drawdown**: 5.79% [6]

Investment Rating - The report indicates an investment rating of "增持" (Overweight) for the industry, suggesting a relative strength of over 5% compared to the benchmark in the next six months [16]. Core Insights - The "日与夜的殊途同归" new momentum factor has shown an annualized return of 18.37% and a volatility of 8.79% from February 2014 to May 2025, with an information ratio of 2.09 and a monthly win rate of 77.94% [6][13]. - In May 2025, the long portfolio of the "殊途同归" factor yielded a return of 4.00%, while the short portfolio returned 5.90%, resulting in a negative return of -1.90% for the long-short strategy [10]. - The new momentum factor model improves upon traditional momentum factors by incorporating intraday and overnight price-volume relationships, leading to a significant enhancement in stock selection capabilities [7][6]. Summary by Sections Performance Review of the New Momentum Factor - The report reviews the performance of the "日与夜的殊途同归" new momentum factor, highlighting its annualized return of 18.37% and a maximum drawdown of 9.07% over the specified period [6][13]. - Traditional momentum factors have shown instability, with a maximum drawdown of 20.35% and a win rate of only 62.75% during the same period [6]. Statistical Analysis - The new momentum factor's backtesting from January 1, 2014, to July 31, 2022, indicates an average information coefficient (IC) of -0.045 and an annualized ICIR of -2.59, demonstrating its superior stock selection ability compared to traditional factors [6][7]. - The monthly maximum drawdown for the new factor is significantly lower at 5.79%, indicating better risk management [6]. Monthly Performance Statistics - The report provides detailed statistics for May 2025, showing the performance of the long and short portfolios, with the long portfolio returning 4.00% and the short portfolio returning 5.90% [10][12]. - The overall performance of the long-short strategy for the month resulted in a negative return of -1.90% [10].