- Factor Name: Turnover Distribution Uniformity (UTD) Factor[1][6] - Factor Construction Idea: The UTD factor is constructed based on minute-level trading volume data to improve the traditional turnover factor by reducing the misjudgment rate of stock samples and enhancing stock selection performance[1][6] - Factor Construction Process: 1. Collect minute-level trading volume data for individual stocks[1][6] 2. Calculate the turnover distribution uniformity for each stock[1][6] 3. Construct the UTD factor by evaluating the uniformity of turnover distribution[1][6] - Factor Evaluation: The UTD factor significantly reduces the misjudgment rate of stock samples and performs better in stock selection compared to traditional factors[1][6] Factor Backtesting Results - UTD Factor, Annualized Return: 19.96%[1][6][11] - UTD Factor, Annualized Volatility: 7.44%[1][6][11] - UTD Factor, Information Ratio (IR): 2.68[1][6][11] - UTD Factor, Monthly Win Rate: 76.98%[1][6][11] - UTD Factor, Maximum Monthly Drawdown: 5.51%[1][6][11] - UTD Factor, July 2025 Long Portfolio Return: 0.81%[1][10] - UTD Factor, July 2025 Short Portfolio Return: 0.25%[1][10] - UTD Factor, July 2025 Long-Short Portfolio Return: 0.56%[1][10]