金工定期报告：量稳换手率变化率SCR因子绩效月报-20231201-东吴证券-13页_1015kb

Summary of SCR Factor Performance Report

Factor Definition

The SCR (The STR Change Rate) factor combines the turnover rate change rate and stability of turnover rate. It is constructed by calculating the change rate of monthly turnover volatility based on historical data and applying cross-sectional market capitalization neutralization.

Key Performance Metrics

• For the full A-share market, the 10-grouped equal-weighted long-short portfolio shows an annualized return of 1836%, with annualized volatility of 1012%, information ratio of 181, monthly win rate of 71.09%, and maximum drawdown of 11.27%.
• In November 2023, the long portfolio had a return of 4.05%, the short portfolio an average return rate of 4.54%, and the long-short portfolio a return of -0.50%.

Backtesting Review

Backtested from 2006/01/01 to 2021/10/31 using all A-shares, SCR factor showed a monthly IC mean of -0.0042 and annualized ICIR of -2.42. Performance under backtest: annualized return 2058%, volatility 916%, information ratio 225, monthly win rate 74.07%, and maximum drawdown of 7.99%.

• The pure SCR factor (after removing market and industry influences) still demonstrated stock-picking ability, with annualized return of 9.10%, volatility of 679%, information ratio of 134, monthly win rate of 63.38%, and maximum drawdown of 17.89%.

Risk Considerations

Performance is based on historical data and may not reflect future market conditions. Single-factor strategies can have high volatility and should be combined with risk management techniques for application.

Parameter Sensitivity

Sensitivity analysis shows that SCR factor performance remains robust under various parameter settings, with information ratios above 2 in similar ranges.