Quantitative Factors and Construction Methods 1. Factor Name: UTR (U-Turnover Rate) - **Construction Idea**: The UTR factor combines two sub-factors, "Turn20" (volume-small factor) and "STR" (volume-stable factor), using a scoring method to address the issue of "1+1<2" in factor integration. The key idea is to prioritize stocks with stable volumes while favoring higher turnover within this stable group [6] - **Construction Process**: 1. At the end of each month, calculate the "Turn20" and "STR" values for all stocks [6] 2. Rank all stocks by the "STR" factor in ascending order and assign scores from 1 to N (N is the total number of stocks), referred to as "Score 1" [6] 3. For the top 50% of stocks ranked by "STR", rank them by "Turn20" in descending order and assign scores from 1 to N/2, referred to as "Score 2". The final score for these stocks is "Score 1 + Score 2" [6] 4. For the bottom 50% of stocks ranked by "STR", rank them by "Turn20" in ascending order and assign scores from 1 to N/2, referred to as "Score 3". The final score for these stocks is "Score 1 + Score 3" [6] 5. The resulting factor is named "UTR" [6] - **Evaluation**: The UTR factor effectively integrates the two sub-factors, achieving the goal of favoring higher turnover within stable-volume stocks [6] 2. Factor Name: UTR2.0 (U-Turnover Rate 2.0) - **Construction Idea**: UTR2.0 improves upon the original UTR factor by transitioning from ordinal scale to ratio scale for factor values. Additionally, it introduces a coefficient for the "Turn20" factor, which is a function of "STR", to better capture the varying impact of "Turn20" across different stability levels. The softsign activation function from neural networks is used to model this relationship [7] - **Construction Process**: 1. Transition from ordinal scale to ratio scale for factor values to retain more information [7] 2. Define the coefficient for "Turn20" as a function of "STR", where the coefficient increases with stability (positive impact) and decreases with instability (negative impact) [7] 3. Use the softsign activation function to model the relationship: $$ \mathrm{UTR2.0} = \mathrm{STR} + \text{softsign}(\mathrm{STR}) \cdot \mathrm{Turn20} $$ $$ \text{softsign}(x) = \frac{x}{1 + |x|} $$ [7] - **Evaluation**: Compared to the original UTR factor, UTR2.0 achieves lower returns but demonstrates superior volatility, information ratio (IR), and monthly win rate, making it a more robust factor [7][9] --- Factor Backtesting Results 1. UTR2.0 Factor - **Annualized Return**: 40.36% [9] - **Annualized Volatility**: 14.97% [9] - **Information Ratio (IR)**: 2.70 [9] - **Monthly Win Rate**: 75.74% [9] - **Maximum Drawdown**: 11.03% [9] 2. July 2025 Performance (UTR2.0 Factor) - **Long Portfolio Return**: 1.29% [9] - **Short Portfolio Return**: -0.06% [9] - **Long-Short Portfolio Return**: 1.35% [9]

Quantitative Factors and Construction Factor Name: UTR2.0 (Upgraded Turnover Rate 2.0) - **Factor Construction Idea**: The UTR2.0 factor is an upgraded version of the original UTR factor. It combines the "Turn20" (small turnover factor) and "STR" (stable turnover factor) using a refined methodology. The key improvement involves transitioning from ordinal scale to ratio scale for factor values, and introducing a coefficient for the small turnover factor based on the stable turnover factor. This adjustment accounts for the varying impact of the small turnover factor across different subgroups [6][7] - **Factor Construction Process**: 1. Calculate the "Turn20" (small turnover factor) and "STR" (stable turnover factor) for all stocks at the end of each month [6] 2. Combine the two factors using the following formula: $$ \mathrm{UTR2.0} = \mathrm{STR} + \text{softsign}(\mathrm{STR}) \cdot \mathrm{Turn20} $$ where: $$ \text{softsign}(x) = \frac{x}{1 + |x|} $$ - `STR` represents the stable turnover factor - `Turn20` represents the small turnover factor - `softsign` is a mathematical function that adjusts the impact of `Turn20` based on the stability of `STR` [7] - **Factor Evaluation**: The UTR2.0 factor demonstrates improved performance metrics compared to the original UTR factor. While the absolute returns are slightly lower, the volatility, information ratio (IR), and monthly win rate are significantly better, making it a more robust factor for stock selection [6][7] --- Factor Backtesting Results UTR2.0 Factor - **Annualized Return**: 40.30% [8][12] - **Annualized Volatility**: 15.04% [8][12] - **Information Ratio (IR)**: 2.68 [8][12] - **Monthly Win Rate**: 75.32% [8][12] - **Maximum Drawdown**: 11.03% [8][12] April 2025 Performance - **Long Portfolio Return**: 1.20% [10] - **Short Portfolio Return**: -4.90% [10] - **Long-Short Portfolio Return**: 6.10% [10]