高频和行为金融学选股因子跟踪月报：煤炭银行通信行业扩散度最高量价类高频和筹码分布类行为金融学因子8月表现较好

目录一、市场行情回顾 1指数行情表现 1风格指数对比 1微盘股、大盘股风格 1亏损股、绩优股风格 2低价股、高价股风格 3行业交易拥挤度分析 3行业周度成交分析 3行业估值分析 4行业扩散指标分析 6二、高频和行为金融学选股因子介绍及分类体系 7、高频选股因子简介 7、高频选股因子分类体系 7、行为金融学选股因子简介 8、行为金融学因子分类体系 9、高频因子低频化的方法 10、因子测试框架 10三、高频因子表现 12订单失衡类因子 12订单失衡因子全历史表现 12订单失衡因子近期表现 13高频技术指标类因子 14高频技术指标因子全历史表现 14高频技术指标因子近期表现 15量价类因子 16量价因子全历史表现 16量价因子近期表现 17流动性类因子 18流动性因子全历史表现 18流动性因子近期表现 19资金流类因子 21资金流因子全历史表现 21资金流因子近期表现 22四、行为金融学因子表现 23有限关注类因子 23有限关注类因子全历史表现 23有限关注因子近期表现 24注意力理论类因子 25注意力理论因子全历史表现 25注意力理论因子近期表现 26风险提示 31图表目录图1：微盘股大盘股净值走势 2图2：亏损股绩优股净值走势 2图3：低价股高价股净值走势 3图4：订单失衡类因子全历史多空月频净值 12图5：订单失衡类因子近1年多空日频净值 13图6：高频技术指标类因子全历史多空月频净值 14图7：高频技术指标类因子近1年多空日频净值 15图8：量价类因子全历史多空月频净值 16图9：量价类因子近1年多空日频净值 17图10：流动性类因子全历史多空月频净值 18图11：流动性类因子全历史多空月频净_2 19图12：流动性类因子近1年多空日频净值 20图13：流动性类因子近1年多空日频净值_2 20图14：资金流类因子全历史多空月频净值 21图15：资金流类因子近1年多空日频净值 22图16：有限关注类因子全历史多空月频净值 23图17：有限关注类因子近1年多空日频净值 24图18：注意力理论类因子全历史多空月频净值 25图19：注意力理论类因子近1年多空日频净值 26图20：V型处置效应因子全历史多空月频净值 27图21：V型处置效应因子近1年多空日频净值 28图筹码分布类因子全历史多空月频净值 图筹码分布类因子近1年多空日频净值 表1：指数行情表现 1表2：行业周度成交分析 4表3：行业估值分析 5表4：行业扩散指标 6表5：高频因子分类体系 8表6：行为金融学因子分类体系 9表7：订单失衡类因子全历史多空收益表现 13表8：订单失衡类因子近期表现 14表9：高频技术指标类因子全史多空收益表现 15表10：高频技术指标类因子近期表现 16表量价类因子全历史多空收益表现 17表12：量价类因子近期表现 18表13：流动性类因子全历史多空收益表现 19表14：流动性类因子近期表现 21表15：资金流类因子全历史多空收益表现 22表16：资金流类因子近期表现 23表17：有限关注类因子全历史多空收益表现 24表18：有限关注类因子近期表现 25表19：注意力理论类因子全历史多空收益表现 26表20：注意力理论类因子近期表现 27表21：V型处置效应因子全历史多空收益表现 28表22：V型处置效应因子近期表现 29表筹码分布类因子全历史多空收益表现 表筹码分布类因子近期表现 一、市场行情回顾8310.86%；宽基指数中的0.98%1.58%。表1：指数行情表现类型简称本周收益率当月收益率ytd收益率近一月收益率近一年收益率大盘指数上证指数0.864.020.444.023.33深证成指0.443.213.623.2110.39大盘指数沪深3000.350.80-0.100.802.85中证A5000.341.781.541.786.65中证5000.726.116.526.1112.89中证10000.859.822.319.824.46中证20000.9813.20-0.7213.202.53风格指数万得微盘股指数1.5816.369.5216.3614.21万得大盘股指数0.793.334.663.336.37亏损股指数(申万)0.769.50-7.219.50-4.75绩优股指数(申万)-0.230.682.980.6813.95低价股指数(申万)-0.793.13-3.153.132.29高价股指数(申万)1.218.4215.408.4220.26微盘股、大盘股风格/大盘股风格。万得大盘指数选取全部A股中市值居于前ST*ST及退市警示标的以外市值最小的400只股票作为指数成分股，等权计算。两者的相对强弱在一定程度上可以反映市场对大盘股、微盘股的偏好。本文计算2018-12-31以来微盘股指数除以大盘股指数的累积净值，微盘风格与大盘风格的对比如下：12.221.81.61.41.210.82.221.81.61.41.210.80.60.4

2019-01-02…图1：微盘股/大盘股净值走势3.63.12.62.11.61.10.6图1：微盘股/大盘股净值走势3.63.12.62.11.61.10.6831日，微盘股/94.16%的历史分位数水平。1.2.2亏损股、绩优股风格本文选取申万绩优股指数、申万亏损股指数分析亏损/绩优风格。申万绩优股指数选取100只盈利股票作为指数成分股，申万亏损股指数选取所有实际亏损的股票作为指数成分股，两者的相对强弱在一定程度上可以反映市场对企业未来的盈利改善预期以及投机偏好。2019-06-11…2019-08-22…2019-11-12…2020-02-03…2020-04-16…2020-07-06…2020-09-16…2020-12-07… 金融工程研究2021-05-14…2021-07-28…2021-10-19…2021-12-30…2022-03-22…2022-06-10…2022-08-23…2022-11-11…2023-02-01…2023-04-17…2023-07-05…2023-09-15…2023-12-06…2024-02-27…2024-05-16…2024-07-30…2024-10-21…2025-01-02…2025-03-25…2025-06-12…2025-08-25…2025-11-13…金融工程跟踪报告2026-01-28…金融工程跟踪报告2026-04-21…22026-07-06…2本文计算2018-12-31本文计算2018-12-31以来亏损股指数除以绩优股指数的累积净值，亏损风格与绩优风格对比如下：图2：亏损股/绩优股净值走势金融工程跟踪报告截至2026年8月31日，亏损股/绩优股位于76.81%的历史分位数水平。1.2.3低价股、高价股风格本文选取申万高价股指数、申万低价股指数分析低价/高价风格。申万高价股指数选取200只高价股票作为指数成分股，申万低价股指数选取200只低价股票作为指数成分股，两者的相对强弱在一定程度上可以反映市场对不同价位股票的偏好。本文计算2018-12-31以来低价股指数除以高价股指数的累积净值，低价风格与高价风格对比如下：图3：低价股/高价股净值走势1.61.41.210.80.62019-01-02…2019-03-27…2019-01-02…2019-03-27…2019-06-19…2019-09-04…2019-11-28…2020-02-24…2020-05-15…2020-08-04…2020-10-28…2021-01-14…2021-04-09…2021-07-01…2021-09-16…2021-12-13…2022-03-08…2022-05-31…2022-08-17…2022-11-10…2023-02-03…2023-04-24…2023-07-17…2023-10-10…2023-12-26…2024-03-21…2024-06-14…2024-08-30…2024-11-26…2025-02-20…2025-05-14…2025-07-31…2025-10-24…2026-01-13…2026-04-09…2026-07-01…截至2026年8月31日，低价股/高价股位于60.52%的历史分位数水平。行业交易拥挤度指的是市场参与者交易某个行业股票的趋同程度。一般来说，某一个行业的趋同交易者数量越多、趋同交易金额越大，那么该行业的交易拥挤度就越高。本文使用2019-12-31至今的交易数据以及估值数据衡量30个中信一级行业的交易拥挤度。行业周度成交分析行业成交额占比指的是行业周度成交额占两市周度成交额的比例。

行业周度成交额两市周度成交额

∗100%金融工程跟踪报告行业换手率指的是行业周度成交额占行业总市值（最近一个交易日）的比例。行业换手率=

行业周度成交额行业总市值

∗100%表2：行业周度成交分析行业名称行业成交额占比行业成交额占比分位数周度换手率周度换手率分位数石油石化(中信)1.3689.440.042.93煤炭(中信)0.9656.010.041.17有色金属(中信)6.5585.040.050.88电力及公用事业(中信2.0434.020.030.59钢铁(中信)0.455.280.030.29基础化工(中信)7.9680.060.051.17建筑(中信)1.219.680.040.88建材(中信)1.3354.550.062.35轻工制造(中信)1.1833.140.061.47机械(中信)8.6182.700.051.175.5412.020.030.29国防军工(中信)1.773.520.030.59汽车(中信)2.395.570.030.29商贸零售(中信)0.9421.700.050.88消费者服务(中信)0.487.920.041.17家电(中信)0.782.050.020.59纺织服装(中信)0.5426.690.050.88医药(中信)5.5419.650.040.88食品饮料(中信)1.287.040.020.59农林牧渔(中信)1.7863.640.064.40银行(中信)2.0062.170.011.17非银行金融(中信)2.0811.730.020.29房地产(中信)1.7751.910.0811.73交通运输(中信)1.159.680.020.59电子(中信)23.7895.600.051.17通信(中信)6.5088.560.051.47计算机(中信)6.6231.960.050.88传媒(中信)3.2150.730.072.35综合(中信)0.092.930.030.59综合金融(中信)0.1013.200.040.598日，成交量占比最高的三个行业分别为电子、机械和基础化工，周换手率最高的四个行业分别为房地产、传媒、农林牧渔和建材。综合来看，TMT行业（电子、通信、计算机和传媒）成交量占市场总成交量的比例为40.11%。行业估值分析金融工程跟踪报告选取PE_LYR、PE_TTM和PB作为行业估值指标，计算公式如下：PE_LYR=

∑行业总市值∑行业归属母公司股东的净利润（LYR）PE_TTM=

∑行业总市值∑行业归属母公司股东的净利润（TTM）PB=

∑行业总市值∑行业净资产表3：行业估值分析行业名称PE_LYRPE_LYR分位数PE_TTMPE_TTM分位数PBPB分位数煤炭(中信)23.2699.7196.4820.7894.131.8598.9795.8992.82电子(中信)119.9284.4786.076.54石油石化(中信)16.5278.0177.2713.8169.791.41机械(中信)51.247.9185.043.0982.9982.5579.77有色金属(中信)26.9652.7918.2825.223.4通信(中信)32.466.1331.3867.452.73计算机(中信)105.3640.4768.661.474.7570.0969.21银行(中信)7.3897.217.2796.770.69国防军工(中信)110.6476.8377.42122.1681.823.7358.50基础化工(中信)46.9735.2859.242.6151.0348.0945.89建材(中信)71.3595.89127.92100.001.5钢铁(中信)49.4480.9462.9179.771.04传媒(中信)56.9132.8453.3820.232.3143.8441.5040.1838.42电力及公用事业(中信2015.5420.9854.551.71商贸零售(中信)-52.76-56.71.4850.947.5145.742.232.85房地产(中信)-5.06-5.240.8833.2832.9931.3831.2330.94纺织服装(中信)29.6246.0429.7150.291.74综合金融(中信)98.0776.8330.712.611.41综合(中信)-35.6-36.311.52轻工制造(中信)76.497.3681.8191.792.01非银行金融(中信)10.314.848.807.90.001.2222.1419.9416.57汽车(中信)26.4529.9121.112.06医药(中信)46.0954.8449.2758.2143.7452.202.82农林牧渔(中信)41-155.372.413.9313.20家电(中信)17.4418.2267.452.42交通运输(中信)19.0948.0918.7946.331.35.574.553.082.49消费者服务(中信)47.1919.0640.958.502.31建筑(中信)13.1795.6016.0499.120.71食品饮料(中信)21.1512.3221.7721.113.5截至2026年8月31日，PB分位数最高的三个行业为煤炭、电子和石油石化。行业扩散指标分析使用指数日K年线得分、日K年线等权得分、日K年线市值加权得分、60分钟K线等权得分和60分钟K线市值加权得分五个指标评估指数走势强弱，计算方法如下：指数日K年线得分：如果指数日收盘价在250日均线以上则得分为1，否则为0。日K年线等权得分/日K年线市值加权得分：对于成分股，如果成分股日收盘价在250日均线以上，则得分为1，否则为0。将成分股得分按等权重/市值加权，可得日K年线等权得分与日K年线市值加权得分。60分钟K线等权得分/60分钟K线市值加权得分k小0。将成分股得分按等权重/K60分钟K线市值加权得分。行业名称指数日K年线得分日K年线等权得分日K年线市值加权得分60分钟K线等权得分行业名称指数日K年线得分日K年线等权得分日K年线市值加权得分60分钟K线等权得分60分钟K线市值加权得分石油石化(中信)1.001.001.000.440.810.820.970.99煤炭(中信)0.660.940.97有色金属(中信)0.52 0.30 0.70 0.530.530.550.69 0.51 0.000.00钢铁(中信)0.120.090.670.64基础化工(中信)1.000.330.520.520.45建筑(中信)0.000.250.270.240.200.520.320.650.63 0.71 0.400.380.64建材(中信)1.00轻工制造(中信)0.00机械(中信)1.000.290.410.520.44力设备及新能源(中0.000.000.000.000.000.220.180.35 0.14 国防军工(中信)0.110.090.380.40汽车(中信)0.150.140.230.180.130.220.510.32商贸零售(中信)0.720.69消费者服务(中信)0.840.62家电(中信)1.000.190.540.570.730.76纺织服装(中信)0.000.000.000.000.320.250.46 0.72 医药(中信)0.370.630.58食品饮料(中信)0.180.120.700.67农林牧渔(中信)0.350.210.930.94银行(中信)1.000.570.920.860.800.96非银行金融(中信)0.000.000.000.170.190.180.190.77房地产(中信)0.770.740.580.63交通运输(中信)0.280.44电子(中信)1.001.000.530.720.340.22通信(中信)0.380.880.550.59计算机(中信)0.000.000.000.000.140.130.100.100.430.590.39传媒(中信)0.140.110.140.750.71综合(中信)0.810.81综合金融(中信)1.001.00831K线市值加权得分最高的三个行业为煤炭、银行和通信；60K线市值加权得分最高的三个行业为综合金融、煤炭和石油石化。二、高频和行为金融学选股因子介绍及分类体系随着国内市场传统因子选股的广泛应用，对公司的基本情况、财务状况以及日间量价关系等低频数据的挖掘已经趋于饱和，以往有效因子也逐渐失效，市场对新信息的挖掘提出了迫切的需求。高频数据中蕴含了丰富的市场交易信息，它能带我们通过数据窥探知情交易者的隐藏信息，也让我们更近距离地感受市场交易者的情绪，从而帮助我们更准确地拿捏市场股票价格的走势。表5：高频因子分类体系信建投传统上，我们理解市场，是基于经济学中关于理性人的假设，将市场分为强有效市场、半强有效市场和弱有效市场三种类型，然而有效市场理论并不能解释市场当中长期存在的异象；为了解释这些令人匪夷所思的不理性现象，上世纪本文根据四篇行为金融学报告《流动性高频因子再构建与投资者注意力因子》、《投资者有限关注及注意力捕捉与溢出》、《处置效应与V型处置效应在量化选股中的应用》和《筹码分布因子系统构建》中的因子构建了分类体系。根据因子的意义分为有限关注类、注意力理论类和筹码分布类，具体的分类如下表所示：表6：行为金融学因子分类体系信建投我们采用下面的具体流程把高频因子转为我们常用的月度低频选股因子。首先因为股票的盘口挂单强弱受到市场总体走势的影响，因此我们需要对各股票进行截面标准化以剔除市场对个股的影响。然后我们把标准化后的分钟因子转换成日因子，我们采用了等权的方法。下面是日因子的构造方法，其中N为第j天总共的分钟数：Factorj,k=

∑Factorj,kN𝑘kj天的因子值，𝑘为横𝑆𝑑_𝐹𝑐𝑜𝑗,𝑘表示横截面因子的标准差：Fcoj,k

Factorj,k−𝑀_Factorj,k=𝑆𝑡𝑑_Factorj,k最后我们把日因子转换成月因子，需要对过去信息进行汇总，在这里使用衰减加权的方法，对于月频，采取使用过去20个交易日的因子值，考虑到信息的时效性的问题，离换仓日越远的信息有效性越弱，所以采用衰减加权的方法，具体方法如下：Fcoj=

201 jj×∑Fcoj,k×∑20𝑗=120

20𝑗=1本报告当中的所有因子测试都使用以下框架进行测试：回测时间：2010年2月-2025年8月样本池：全市场股票筛选：剔除在调仓日的停牌、涨跌停、上市未满半年和ST股票调仓时间：月频调仓（每个月的最后一个交易日）因子处理：极值处理（剔除3倍标准差之外的样本）、缺失值处理（直接剔除）、中性化处理（市值、行业）多空收益分析分位数：10分位因子类型：高频衰减加权因子基准指数：中证全指三、高频因子表现订单失衡因子全历史表现截至2026年8月31日，订单失衡类因子全历史多空月频净值曲线如下：图4：订单失衡类因子全历史多空月频净值VOI MOFI_Weight OIR SOIR PIR86422010-02-262010-08-312011-02-282010-02-262010-08-312011-02-282011-08-312012-02-292012-08-312013-02-282013-08-302014-02-282014-08-292015-02-272015-08-312016-02-292016-08-312017-02-282017-08-312018-02-282018-08-312019-02-282019-08-302020-02-282020-08-312021-02-262021-08-312022-02-282022-08-312023-02-282023-08-312024-02-292024-08-302025-02-282025-08-292026-03-31软科技订单失衡类全历史多空年化收益14.76%-18.89%区间内，其中，SOIR因子表现最好，其年化收益18.89%，夏普比率2.69，最大回撤5.59%，IC均值-4.84%，年化IR达到2.61。表7：订单失衡类因子全历史多空收益表现VOIMOFI_WeightOIRSOIRPIRIC-5.27-4.39-3.51-4.84-4.42IC标准差6.257.677.246.417.44IR84.2557.2348.4275.4259.41年化IR291.85198.26167.72261.25205.81胜率79.7077.6672.0879.1976.14累积收益率1007.001511.21870.141638.401145.08最大回撤9.1610.899.655.5913.33年化波动率9.328.498.767.039.35年化收益率15.6918.3514.7618.8916.51夏普比率168.25215.99168.62268.92176.68收益回撤比171.25168.56153.01337.71123.84胜率0.650.760.740.770.72软科技订单失衡因子近期表现截至2026年8月31日，订单失衡类因子近1年多空日频净值曲线如下：图5：订单失衡类因子近1年多空日频净值VOI MOFI_Weight OIR SOIR PIR1.41.31.21.112025-07-302025-08-082025-08-192025-07-302025-08-082025-08-192025-08-282025-09-082025-09-172025-09-262025-10-152025-10-242025-11-042025-11-132025-11-242026-01-072026-01-162026-01-272026-02-052026-02-242026-03-052026-03-162026-03-252026-04-032026-04-152026-04-242026-05-082026-05-192026-05-282026-06-082026-06-172026-06-292026-07-082026-07-172026-07-282026-08-062026-08-172026-08-26软科技2010-02-262010-02-262010-06-302010-10-292011-02-282011-06-302011-10-312012-02-292012-06-292012-10-312013-02-282013-06-282013-10-312014-02-282014-06-302014-10-312015-02-272015-06-302015-10-302016-02-292016-06-302016-10-312017-02-282017-06-302017-10-312018-02-282018-06-292018-10-312019-02-282019-06-282019-10-312020-02-282020-06-302020-10-302021-02-262021-06-302021-10-292022-02-282022-06-302022-10-312023-02-282023-06-302023-10-312024-02-292024-06-282024-10-312025-02-282025-06-302025-10-312026-03-312026-07-31PIR因子周度多空表现最好，周度多空-0.08%0.88%PIR因13.95OIR1309，；近一年OIR21.59%。表8：订单失衡类因子近期表现多头周度表现多头周度超额多空周度表现多头当月表现多头当月超额多空当月表现多头当年表现多头当年超额多空当年表现多空近1年表现VOI-0.401.36-1.194.256.59-4.312.273.789.2417.27MOFI_Weight0.151.92-0.727.509.84-2.823.384.889.3618.22OIR0.272.04-0.648.7311.07-2.007.078.5813.0921.59SOIR-0.031.74-1.217.009.33-4.694.996.498.6617.65PIR0.882.64-0.0813.9516.284.86-3.71-2.21-0.515.51软科技高频技术指标因子全历史表现截至2026年8月31日，高频技术指标类因子全历史多空月频净值曲线如下：图6：高频技术指标类因子全历史多空月频净值BIAS CCI RSI PSY Money_Flow Coppock ADTM ATR mean_of_close_AVEDEV50 4545 40 35 302520151050软科技高频技术指标类全历史多空年化收益99%-2.2%BAS2.25%，8.58%，IC均值-5.87%IR2.64。表9：高频技术指标类因子全历史多空收益表现BIASCCIRSIPSYMoney_FlowCoppockADTMATRmean_of_close_AVEDEVIC-5.87-3.32-6.74-5.21-2.62-6.176.17-5.07-5.05IC标准差7.707.427.9212.7310.588.9013.099.019.42IR76.1344.7785.0940.9524.7269.3347.1456.3053.61年化IR263.72155.10294.78141.8485.63240.15163.31195.04185.70胜率78.6868.0279.1963.9660.4177.6666.5069.5467.51累积收益率4583.46873.231876.13377.31464.713875.66438.52672.08608.90最大回撤8.587.3910.0027.2629.7716.8421.2532.0529.71年化波动率10.959.399.4314.3011.0913.1814.9513.1813.57年化收益率26.2514.7919.829.9411.0625.0110.7413.1912.60夏普比率239.80157.45210.2969.5099.73189.6871.87100.0292.85收益回撤比306.02200.02198.2136.4537.16148.4650.5641.1542.42胜率75.0066.0073.0059.0064.0075.0058.0066.0062.00软科技高频技术指标因子近期表现截至2026年8月31日，高频技术指标类因子近1年多空日频净值曲线如下：图7：高频技术指标类因子近1年多空日频净值BIAS CCI RSIPSY Money_Flow CoppockADTM ATR mean_of_close_AVEDEV1.51.41.31.21.110.90.80.70.62025-07-302025-08-082025-08-192025-07-302025-08-082025-08-192025-08-282025-09-082025-09-172025-09-262025-10-152025-10-242025-11-042025-11-132025-11-242026-01-072026-01-162026-01-272026-02-052026-02-242026-03-052026-03-162026-03-252026-04-032026-04-152026-04-242026-05-082026-05-192026-05-282026-06-082026-06-172026-06-292026-07-082026-07-172026-07-282026-08-062026-08-172026-08-26 软科技Coppock因子周度多空表现最好，周度多空，多头收益2.31%；本月Coppock20.65%24.35%BIAS因子年度多空表现最好，年27.02%BIAS30.79%。表10：高频技术指标类因子近期表现多头周度表现多头周度超额多空周度表现多头当月表现多头当月超额多空当月表现多头当年表现多头当年超额多空当年表现多空近1年表现BIAS2.063.831.2622.2424.5716.2627.0228.5332.7130.79CCI1.453.221.1616.9319.2614.0713.6515.1626.6924.27RSI0.171.94-0.776.719.04-0.932.594.1010.2619.09PSY-0.391.38-1.894.917.24-7.35-0.870.63-12.86-8.99Money_Flow1.152.92-0.368.1110.44-7.655.577.08-12.51-15.59Coppock2.314.081.8824.3526.6820.6522.1923.7028.3725.26ADTM-0.421.35-3.294.476.80-16.711.222.73-17.80-13.63ATR0.822.58-1.855.808.13-12.922.514.02-19.72-20.01mean_of_close_AVEDEV0.892.66-1.836.068.39-13.510.842.34-20.34-19.91软科技量价类因子量价因子全历史表现截至2026年8月31日，量价类因子全历史多空月频净值曲线如下：图8：量价类因子全历史多空月频净值MPB MPC MPC_max MPC_skew RSJ MAX6050403020102010-02-262010-06-302010-02-262010-06-302010-10-292011-02-282011-06-302011-10-312012-02-292012-06-292012-10-312013-02-282013-06-282013-10-312014-02-282014-06-302014-10-312015-02-272015-06-302015-10-302016-02-292016-06-302016-10-312017-02-282017-06-302017-10-312018-02-282018-06-292018-10-312019-02-282019-06-282019-10-312020-02-282020-06-302020-10-302021-02-262021-06-302021-10-292022-02-282022-06-302022-10-312023-02-282023-06-302023-10-312024-02-292024-06-282024-10-312025-02-282025-06-302025-10-312026-03-312026-07-31 软科技量价类全历史多空年化收益13.14%-27.34%区间内，其中，MPC因子表现最好，其年化收益27.34%，夏普比率2.20，最大回撤12.48%，IC均值-6.61%，年化IR达到2.69。表11：量价类因子全历史多空收益表现MPBMPCMPC_maxMPC_skewRSJMAXIC-6.48-6.61-8.95-5.90-6.13-6.33IC标准差8.478.5111.335.896.6211.81IR76.4577.6778.99100.1292.5053.63年化IR264.81269.06273.62346.83320.43185.77胜率81.2280.2080.7184.2682.7475.13累积收益率5130.935295.611657.541120.511903.86666.91最大回撤11.6512.4822.9713.818.5529.30年化波动率12.3912.4415.987.849.0216.91年化收益率27.1027.3418.9716.3719.9213.14夏普比率218.67219.86118.72208.71220.7777.72收益回撤比232.74219.0482.61118.52233.0544.85胜率76.0078.0070.0077.0077.0063.00软科技量价因子近期表现截至2026年8月31日，量价类因子近1年多空日频净值曲线如下：图9：量价类因子近1年多空日频净值MPB MPC MPC_max MPC_skew RSJ MAX1.51.41.31.21.110.90.80.70.62025-07-302025-08-062025-08-132025-07-302025-08-062025-08-132025-08-202025-08-272025-09-032025-09-102025-09-172025-09-242025-10-092025-10-162025-10-232025-10-302025-11-062025-11-132025-11-202025-11-272026-01-082026-01-152026-01-222026-01-292026-02-052026-02-122026-02-272026-03-062026-03-132026-03-202026-03-272026-04-032026-04-132026-04-202026-04-272026-05-072026-05-142026-05-212026-05-282026-06-042026-06-112026-06-182026-06-262026-07-032026-07-102026-07-172026-07-242026-07-312026-08-072026-08-142026-08-212026-08-28软科技MPB1.92%2.35%MPB因子20.85MPC3679，；近一年MPC37.67%。表12：量价类因子近期表现多头周度表现多头周度超额多空周度表现多头当月表现多头当月超额多空当月表现多头当年表现多头当年超额多空当年表现多空近1年表现MPB2.354.111.9225.7128.0420.8528.8030.3036.1237.19MPC2.334.101.7625.7128.0420.7431.9433.4536.7937.67MPC_max0.312.08-1.922.614.94-16.031.913.41-11.66-8.53MPC_skew0.342.11-0.315.828.15-3.04-2.00-0.50-3.790.89RSJ0.542.310.338.4810.81-0.335.687.189.059.88MAX0.412.18-2.183.045.37-16.55-0.241.26-17.05-14.52软科技流动性因子全历史表现截至2026年8月31日，流动性类因子全历史多空月频净值曲线如下：图10：流动性类因子全历史多空月频净值ILLIQ ILLIQ2 LSllliq Gamma Lambda MCI_B LogquoteSlope2520151052010-02-262010-07-302010-12-312010-02-262010-07-302010-12-312011-05-312011-10-312012-03-302012-08-312013-01-312013-06-282013-11-292014-04-302014-09-302015-02-272015-07-312015-12-312016-05-312016-10-312017-03-312017-08-312018-01-312018-06-292018-11-302019-04-302019-09-302020-02-282020-07-312020-12-312021-05-312021-10-292022-03-312022-08-312023-01-312023-06-302023-11-302024-04-302024-09-302025-02-282025-07-312026-01-302026-06-30软科技金融工程跟踪报告图11：流动性类因子全历史多空月频净值_2Amivest ES ESI PRSI CPQS CPQSI HLI35302520151052010-02-262010-05-312010-08-312010-02-262010-05-312010-08-312010-11-302011-02-282011-05-312011-08-312011-11-302012-02-292012-05-312012-08-312012-11-302013-02-282013-05-312013-08-302013-11-292014-02-282014-05-302014-08-292014-11-282015-02-272015-05-292015-08-312015-11-302016-02-292016-05-312016-08-312016-11-302017-02-282017-05-312017-08-312017-11-302018-02-282018-05-312018-08-312018-11-302019-02-282019-05-312019-08-302019-11-292020-02-282020-05-292020-08-312020-11-302021-02-262021-05-312021-08-312021-11-302022-02-282022-05-312022-08-312022-11-302023-02-282023-05-312023-08-312023-11-302024-02-292024-05-312024-08-302024-11-292025-02-282025-05-302025-08-292025-12-312026-03-312026-06-30软科技流动性类全历史多空年化收益5.42%-22.38%区间内，其中，ESI因子表现最好，其年化收益22.38%，夏普比率2.23，最大回撤7.47%，IC均值7.15%，年化IR达到2.58。表13：流动性类因子全历史多空收益表现ILLIQILLIQ2LSllliqGammaLambdaMCI_BLogquoteSlopeAmivestESESIPRSICPQSCPQSIHLIIC4.304.644.254.785.804.834.78-1.203.957.155.213.926.897.62IC标准差8.338.658.088.068.409.668.828.278.739.598.9610.119.6210.26IR51.6053.6052.6159.2569.0450.0154.2014.4945.3174.5858.1538.7871.6474.31年化IR178.75185.66182.25205.23239.17173.25187.7450.19156.95258.34201.45134.33248.16257.40胜率72.5975.6372.5971.0774.1172.0869.5453.8166.5075.6372.0862.7675.0077.16累积收益率914.891023.33787.031133.401785.591422.381218.34138.98743.422700.58827.45524.971820.342053.81最大回撤19.7713.2817.7012.028.7416.6611.2222.8612.017.4713.5014.809.2712.76年化波动率9.819.029.589.099.5911.249.758.169.8510.048.7411.769.8111.64年化收益率15.0815.7914.1416.4519.4817.9416.925.4213.8022.3814.4511.7519.6120.45夏普比率153.72175.07147.58180.99203.08159.64173.5666.44139.99222.82165.3699.86199.90175.73收益回撤比76.27118.9179.89136.78222.89107.71150.7423.72114.88299.80107.0179.37211.52160.22胜率69.0074.0068.0069.0073.0072.0067.0059.0064.0071.0066.0059.0069.0070.00软科技流动性因子近期表现截至2026年8月31日，流动性类因子近1年多空日频净值曲线如下：1.31.251.21.151.11.0510.950.9软科技1.31.251.21.151.11.0510.950.9软科技

2025-07-30121年多空日频净值1.351.31.251.21.151.11.0510.950.9软科技131年多空日频净值121年多空日频净值1.351.31.251.21.151.11.0510.950.9软科技131年多空日频净值_22025-08-132025-08-202025-08-272025-09-032025-09-10ILLIQ2025-09-17ILLIQ2025-09-242025-10-092025-10-16Amivest2025-10-23AmivestILLIQ22025-10-30ILLIQ22025-11-062025-11-132025-11-20ES2025-11-27ES2026-01-08LSllliq2026-01-15LSllliq2026-01-22ESI2026-01-29ESI2026-02-052026-02-122026-02-27GammaPRSI2026-03-06GammaPRSI2026-03-132026-03-202026-03-27CPQS2026-04-03CPQSLambda2026-04-13Lambda2026-04-202026-04-27CPQSI2026-05-07CPQSI2026-05-142026-05-21MCI_B2026-05-28MCI_BHLI2026-06-04HLI2026-06-112026-06-182026-06-26LogquoteSlope2026-07-03LogquoteSlope2026-07-102026-07-172026-07-242026-07-312026-08-072026-08-142026-08-21202026-08-2820 金融工程研究金融工程跟踪报告 金融工程研究金融工程跟踪报告金融工程跟踪报告CPQS1.71%CPQS因1.0%.%M_B8.02%，；近一年ILLIQ20.98%。表14：流动性类因子近期表现多头周度表现多头周度超额多空周度表现多头当月表现多头当月超额多空当月表现多头当年表现多头当年超额多空当年表现多空近1年表现ILLIQ1.052.82-0.139.2811.62-5.2712.6714.1712.6520.98ILLIQ20.972.74-0.129.7112.04-3.516.748.245.9513.17LSllliq0.952.72-0.309.2211.55-7.017.729.235.2612.92Gamma1.283.04-0.1310.2312.56-4.977.258.754.748.99Lambda0.992.75-0.1610.6913.03-4.3010.5512.069.3018.52MCI_B1.493.261.5312.8015.133.7312.7714.2718.0220.65LogquoteSlope0.382.15-0.6610.4112.74-0.676.688.194.7610.23Amivest0.372.14-1.333.505.83-12.082.123.63-9.81-8.56ES0.021.78-1.068.6510.99-1.784.596.101.965.20ESI0.502.27-0.799.1111.44-5.197.248.744.0511.16PRSI0.712.48-0.168.7911.12-2.026.117.6111.0917.35CPQS6.187.941.715.387.7113.70-2.10-0.608.4711.07CPQSI4.816.58-0.551.623.969.05-0.540.9610.9716.96HLI0.662.43-0.658.9111.24-8.297.739.246.2913.39软科技资金流因子全历史表现截至2026年8月31日，资金流类因子全历史多空月频净值曲线如下：图14：资金流类因子全历史多空月频净值PTOR BNI MB BAM SAM SACov BACov4035302520151052010-02-262010-07-302010-02-262010-07-302010-12-312011-05-312011-10-312012-03-302012-08-312013-01-312013-06-282013-11-292014-04-302014-09-302015-02-272015-07-312015-12-312016-05-312016-10-312017-03-312017-08-312018-01-312018-06-292018-11-302019-04-302019-09-302020-02-282020-07-312020-12-312021-05-312021-10-292022-03-312022-08-312023-01-312023-06-302023-11-302024-04-302024-09-302025-02-282025-07-312026-01-302026-06-30软科技11.73%-24.02区间内，其中，BACov2402，15.66%，IC8.10%，年化IR3.01。表15：资金流类因子全历史多空收益表现PTORBNIMBBAMSAMSACovBACovIC6.71-3.75-3.41-5.42-5.397.858.10IC标准差5.975.238.099.579.629.339.34IR112.4071.7642.2056.6056.0284.1686.79年化IR389.35248.60146.20196.08194.04291.54300.64胜率88.3279.1970.5674.6274.6283.2582.74累积收益率2831.10559.84523.251174.031044.832907.783389.69最大回撤6.9118.8116.6223.6622.9014.8015.66年化波动率7.587.6811.3013.6813.4411.7911.94年化收益率22.7212.1111.7316.6815.9222.9124.02夏普比率299.86157.78103.81121.86118.48194.27201.14收益回撤比329.0164.3970.5870.4769.52154.76153.36胜率83.0069.0069.0069.0067.0074.0075.00软科技资金流因子近期表现截至2026年8月31日，资金流类因子近1年多空日频净值曲线如下：图15：资金流类因子近1年多空日频净值PTOR BNI MB BAM SAM SACov BACov1.25 1.2 1.15 1.1 1.05 1 0.95 0.9 0.85 2025-07-302025-08-072025-08-152025-08-252025-09-022025-09-102025-07-302025-08-072025-08-152025-08-252025-09-022025-09-102025-09-182025-09-262025-10-142025-10-222025-10-302025-11-072025-11-172025-11-252026-01-072026-01-152026-01-232026-02-022026-02-102026-02-262026-03-062026-03-162026-03-242026-04-012026-04-102026-04-202026-04-282026-05-112026-05-192026-05-272026-06-042026-06-122026-06-232026-07-012026-07-092026-07-172026-07-272026-08-042026-08-122026-08-202026-08-28 软科技1.08%1.44%BNI因子8.28%15.38%MB17.90，；近一年MB17.56%。表16：资金流类因子近期表现多头周度表现多头周度超额多空周度表现多头当月表现多头当月超额多空当月表现多头当年表现多头当年超额多空当年表现多空近1年表现PTOR0.582.35-0.069.2811.610.367.809.3111.0113.25BNI1.443.201.0815.3817.718.2813.0814.597.290.86MB1.643.400.6416.6619.007.5816.8518.3517.9017.56BAM0.232.00-1.072.444.78-12.612.734.23-14.64-11.91SAM0.302.06-1.012.644.97-12.532.734.23-14.25-11.64SACov0.922.69-0.149.8712.20-5.364.125.62-0.346.96BACov1.012.78-0.089.4911.82-6.144.425.921.106.74软科技四、行为金融学因子表现有限关注类因子全历史表现截至2026年8月31日，有限关注类因子全历史多空月频净值曲线如下：图16：有限关注类因子全历史多空月频净值ABNRETAVG ABNRETD ABNVOLAVG ABNVOLD TURNAVG TURN_INST TURN_RETAIL454035302520151052010-01-292010-05-312010-01-292010-05-312010-09-302011-01-312011-05-312011-09-302012-01-312012-05-312012-09-282013-01-312013-05-312013-09-302014-01-302014-05-302014-09-302015-01-302015-05-292015-09-302016-01-292016-05-312016-09-302017-01-262017-05-312017-09-292018-01-312018-05-312018-09-282019-01-312019-05-312019-09-302020-01-232020-05-292020-09-302021-01-292021-05-312021-09-302022-01-282022-05-312022-09-302023-01-312023-05-312023-09-282024-01-312024-05-312024-09-302025-01-272025-05-302025-09-302026-02-272026-06-30有限关注类全历史多空年化收益12.11%-24.35%区间内，其中，TURN_RETAIL因子表现最好，其年化收益24.35%，夏普比率1.93，最大回撤10.60%，IC均值-7.98%，年化IR达到2.95。17：有限关注类因子全历史多空收益表现ABNRETAVGABNRETDABNVOLAVGABNVOLDTURNAVGTURN_INSTTURN_RETAILIC-8.40-7.86-5.14-3.53-8.21-7.23-7.98IC标准差8.799.177.634.009.748.049.37IR95.5685.7367.3688.1584.3589.8585.17年化IR331.03296.99233.34305.34292.19311.27295.04胜率81.8282.2377.7879.8078.7983.8480.30累积收益率3312.461855.86745.87565.963463.732309.723612.00最大回撤17.9714.0518.463.3414.7916.7110.60年化波动率13.3112.2110.795.5613.2612.4912.59年化收益率23.7219.7513.7412.1124.0521.1524.35夏普比率178.19161.72127.30218.03181.37169.39193.39收益回撤比132.00140.5974.43362.43162.60126.63229.82胜率72.0071.0065.0072.0073.0077.0071.00有限关注因子近期表现截至2026年8月31日，有限关注类因子近1年多空日频净值曲线如下：图17：有限关注类因子近1年多空日频净值ABNRETAVG ABNRETD ABNVOLAVG ABNVOLD TURNAVG TURN_INST TURN_RETAIL1.251.21.151.11.0510.950.90.852025-07-302025-08-062025-08-132025-07-302025-08-062025-08-132025-08-202025-08-272025-09-032025-09-102025-09-172025-09-242025-10-092025-10-162025-10-232025-10-302025-11-062025-11-132025-11-202025-11-272026-01-082026-01-152026-01-222026-01-292026-02-052026-02-122026-02-272026-03-062026-03-132026-03-202026-03-272026-04-032026-04-132026-04-202026-04-272026-05-072026-05-142026-05-212026-05-282026-06-042026-06-112026-06-182026-06-262026-07-032026-07-102026-07-172026-07-242026-07-312026-08-072026-08-142026-08-212026-08-28 ABNVOLD0.16%0.75%3.41%，多头收益；本年ABNVOLD因子年度多空表现最7.81%；近一年ABNVOLD17.19%。表18：有限关注类因子近期表现多头周度表现多头周度超额多空周度表现多头当月表现多头当月超额多空当月表现多头当年表现多头当年超额多空当年表现多空近1年表现ABNRETAVG0.662.43-1.725.537.87-12.177.128.62-4.31-1.58ABNRETD0.762.53-1.286.839.16-7.126.528.021.353.81ABNVOLAVG0.302.07-1.367.7810.11-6.24-1.170.34-8.15-6.54ABNVOLD0.752.520.1610.7013.033.417.819.3115.3817.19TURNAVG0.782.55-0.926.999.33-10.527.649.14-2.445.49TURN_INST0.702.46-1.115.427.75-13.188.159.65-5.78-2.15TURN_RETAIL0.622.39-1.107.249.57-10.606.377.87-0.176.70注意力理论因子全历史表现截至2026年8月31日，注意力理论类因子全历史多空月频净值曲线如下：图18：注意力理论类因子全历史多空月频净值SPILLRET SPILLTURN GRAB_LIMIT GRAB_AMTGRAB_VOL GRAB_RET GRAB_TURN STV_2706050403020102010-01-292010-06-302010-01-292010-06-302010-11-302011-04-292011-09-302012-02-292012-07-312012-12-312013-05-312013-10-312014-03-312014-08-292015-01-302015-06-302015-11-302016-04-292016-09-302017-02-282017-07-312017-12-292018-05-312018-10-312019-03-292019-08-302020-01-232020-06-302020-11-302021-04-302021-09-302022-02-282022-07-292022-12-302023-05-312023-10-312024-03-292024-08-302025-01-272025-06-302025-12-312026-05-29 注意力理论类全历史多空年化收益11.88%-27.23%区间内，其中，SPILLTURN因子表现最好，其年化收益27.23%，夏普比率2.14，最大回撤13.82%，IC均值8.32%，年化IR达到3.12。表19：注意力理论类因子全历史多空收益表现SPILLRETSPILLTURNGRAB_LIMITGRAB_AMTGRAB_VOLGRAB_RETGRAB_TURNSTV_2IC7.958.32-4.34-4.56-4.62-4.42-4.55-8.09IC标准差8.079.244.694.624.434.694.557.40IR98.4690.0392.4298.63104.3694.12100.02109.45年化IR341.06311.88320.16341.65361.51326.03346.46379.14胜率83.3381.8283.3383.8486.3683.3382.3286.36累积收益率2455.035326.31592.36615.01546.89565.65543.364766.17最大回撤14.4413.827.648.447.088.0710.004.74年化波动率11.7812.736.486.366.577.106.678.82年化收益率21.5827.2312.3812.5911.9212.1111.8826.40夏普比率183.19213.88191.11198.00181.49170.55178.16299.44收益回撤比149.47197.03162.00149.22168.35150.08118.80556.70胜率74.0076.0070.0073.0073.0069.0070.0078.00注意力理论因子近期表现截至2026年8月31日，注意力理论类因子近1年多空日频净值曲线如下：图19：注意力理论类因子近1年多空日频净值SPILLRET SPILLTURN GRAB_LIMIT GRAB_VOL GRAB_RET GRAB_TURN STV_21.31.251.21.151.11.0510.952025-07-302025-08-082025-07-302025-08-082025-08-192025-08-282025-09-082025-09-172025-09-262025-10-152025-10-242025-11-042025-11-132025-11-242026-01-072026-01-162026-01-272026-02-052026-02-242026-03-052026-03-162026-03-252026-04-032026-04-152026-04-242026-05-082026-05-192026-05-282026-06-082026-06-172026-06-292026-07-082026-07-172026-07-282026-08-062026-08-172026-08-26 在注意力理论类因子中，本周STV_2因子周度多空表现最好，周度多空0.19%，多头收益0.75%；本月GRAB_LIMIT因子月度多空表现最好，月度多空-1.76%，多头收益10.05%；本年STV_2因子年度多空表现最好，年度多空16.08%，多头收益8.78%；近一年STV_2因子多空表现最好，近一年收益21.83%。表20：注意力理论类因子近期表现多头周度表现多头周度超额多空周度表现多头当月表现多头当月超额多空当月表现多头当年表现多头当年超额多空当年表现多空近1年表现SPILLRET0.612.38-1.785.547.87-11.703.915.41-3.70-0.23SPILLTURN0.852.61-0.81 6.73 9.07-10.206.017.51-1.316.11GRAB_LIMIT0.972.74-0.5310.0512.38-1.766.377.872.255.19GRAB_AMT1.072.84-0.1510.08