20240402-东吴证券-金工定期报告_优加换手率UTR2.0选股因子绩效月报_17页_925kb

Optimized Turnover Rate Factor Enhances Stock Selection Performance
A recent financial engineering report by East Fortune Securities analyzes the improved "U-TurnoverRate20 (UTR20) factor" developed by combining "Turn20" (small turnover) and "STR" (stable turnover) indicators, paired via an adaptive function (weighted by turnover stability). The key innovation lies in substituting the traditional ordered ranking (ordinal scale) with ratio-scale factor values, preserving granularity while addressing asymmetric turnover effects in different market segments.

Historically outperforming the original UTR in volatility (1494% annualized vs. traditional metrics), UTR20 achieved a 4088% annualized return with a favorable Sharpe ratio (2.74) and 75.69% monthly win rates in 2006-2024. Performance decomposition reveals consistent market adaptability but vulnerability to abrupt market shifts—since based on lagged data (e.g., 20-day rolling window), model reliance on recent price/market changes increases risk. Exposures to smaller-cap indices like CSI 500 and CSI 1000 are noticeably smoother, while large-caps like CSI 300 exhibit higher sensitivity to macro fluctuations.

Risk factors: Single-factor models cannot capture evolving market dynamics, and backtesting extends no more than two years beyond 2024.