- The Stability of Turnover Rate (STR) factor was constructed to evaluate the stability of daily turnover rates, aiming to improve stock selection efficiency by focusing on turnover rate stability rather than absolute turnover rate values [1][8][9] - STR factor construction involves calculating the stability of daily turnover rates using simple daily frequency data, referencing the methodology of the Uniformity of Turnover Rate Distribution (UTD) factor, which analyzes turnover rate distribution uniformity based on minute-level data [8] - STR factor performance metrics include annualized return of 40.88%, annualized volatility of 14.45%, IR of 2.83, monthly win rate of 76.79%, and maximum monthly drawdown of 9.96% during the period from January 2006 to October 2025 [9][12] - STR factor monthly performance in October 2025 showed a long portfolio return of 4.62%, a short portfolio return of -1.43%, and a long-short portfolio return of 6.06% [10] - Traditional turnover rate factor (Turn20), calculated as the average daily turnover rate over the past 20 trading days with market capitalization neutralization, demonstrated a monthly IC mean of -0.072, annualized ICIR of -2.10, annualized return of 33.41%, IR of 1.90, and monthly win rate of 71.58% from January 2006 to April 2021 [6] - Turnover rate factor logic indicates stocks with lower turnover rates in the past month are more likely to rise in the following month, while stocks with higher turnover rates are more likely to decline, though this logic has limitations due to significant intra-group return variance in high-turnover portfolios [7] - STR factor evaluation highlights its simplicity and effectiveness in stock selection, even after removing common style and industry biases, showcasing robust performance [1][8]

Quantitative Factors and Construction Factor Name: Stability of Turnover Rate (STR) - **Factor Construction Idea**: The STR factor is designed to evaluate the stability of daily turnover rates. It aims to identify stocks with stable turnover rates, as opposed to focusing solely on low or high turnover rates. This approach addresses the limitations of traditional turnover rate factors, which may misjudge stocks with high turnover but significant future returns [1][8]. - **Factor Construction Process**: - The STR factor is constructed using daily turnover rate data. - The stability of turnover rates is calculated, inspired by the Uniformity of Turnover Rate Distribution (UTD) factor, which measures turnover rate volatility at the minute level. - The STR factor is then adjusted to remove the influence of common market styles and industry effects, ensuring a "pure" factor signal [8]. - **Factor Evaluation**: The STR factor demonstrates strong stock selection capabilities, even after controlling for market and industry influences. It is considered an effective and straightforward factor [6][8]. Traditional Turnover Rate Factor (Turn20) - **Factor Construction Idea**: The Turn20 factor calculates the average daily turnover rate over the past 20 trading days. It assumes that stocks with lower turnover rates are more likely to outperform in the future, while those with higher turnover rates are more likely to underperform [6][7]. - **Factor Construction Process**: - At the end of each month, the daily turnover rates of all stocks over the past 20 trading days are averaged. - The resulting values are neutralized for market capitalization to eliminate size effects [6]. - **Factor Evaluation**: While the Turn20 factor has historically performed well, its logic has limitations. Specifically, stocks with high turnover rates exhibit significant variability in future returns, leading to potential misjudgments of high-performing stocks within this group [7]. --- Backtesting Results of Factors STR Factor - **Annualized Return**: 40.75% [9][10] - **Annualized Volatility**: 14.44% [9][10] - **Information Ratio (IR)**: 2.82 [9][10] - **Monthly Win Rate**: 77.02% [9][10] - **Maximum Drawdown**: 9.96% [9][10] - **July 2025 Performance**: - Long Portfolio Return: 1.29% [10] - Short Portfolio Return: -0.02% [10] - Long-Short Portfolio Return: 1.32% [10] Turn20 Factor - **Monthly IC Mean**: -0.072 [6] - **Annualized ICIR**: -2.10 [6] - **Annualized Return**: 33.41% [6] - **Information Ratio (IR)**: 1.90 [6] - **Monthly Win Rate**: 71.58% [6]

Investment Rating - The industry investment rating is "增持" (Overweight), indicating an expectation that the industry index will outperform the benchmark by more than 5% in the next six months [22]. Core Insights - The TPS factor has an annualized return of 39.50% with a volatility of 15.79%, an information ratio of 2.50, a monthly win rate of 77.39%, and a maximum drawdown of 18.19% from January 2006 to April 2025 [11][12]. - The SPS factor has an annualized return of 43.08% with a volatility of 13.17%, an information ratio of 3.27, a monthly win rate of 83.48%, and a maximum drawdown of 11.58% during the same period [11][12]. - In April 2025, the TPS factor's long portfolio yielded a return of 0.48%, while the short portfolio had a return of -4.59%, resulting in a total long-short return of 5.07% [14][15]. - For the SPS factor in April 2025, the long portfolio returned 0.55%, the short portfolio returned -4.81%, leading to a total long-short return of 5.36% [14][15]. Summary by Sections TPS Factor Performance - The TPS factor was constructed to improve the traditional turnover rate factor by focusing on the stability of daily turnover rates. It significantly outperformed traditional turnover rate factors during the backtesting period [9][10]. - The TPS factor's performance metrics from January 2006 to April 2025 include an annualized return of 39.50%, annualized volatility of 15.79%, and a monthly win rate of 77.39% [11][12]. SPS Factor Performance - The SPS factor was also designed to enhance the traditional turnover rate factor, focusing on daily turnover rate stability. It has shown superior performance compared to traditional factors [9][10]. - The SPS factor's performance metrics from January 2006 to April 2025 include an annualized return of 43.08%, annualized volatility of 13.17%, and a monthly win rate of 83.48% [11][12].