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金工定期报告20250806:量稳换手率STR选股因子绩效月报-20250806
Soochow Securities· 2025-08-06 07:31
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]