ATR
Abnormal Turnover Ratio — Pan Tang and Xu 2016
Liquidity
Quick facts
| Factor ID | ATR |
| Display name | Abnormal Turnover Ratio |
| Family | Predictor |
| Category | Liquidity |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Pan Tang and Xu 2016 |
| Source tables | daily_basic |
| Required fields | turnover_rate |
| PIT required | no |
| Coverage | 2011-01-24 – 2026-05-15 · 617,710 rows · 90.2% of panel |
Formula
mean(turnover_rate over t-21..t-1) / mean(turnover_rate over t-252..t-1)
Last-month average turnover divided by trailing-twelve-month average turnover as a speculative-trading measure.
China adaptation
This is the original Pan-Tang-Xu (2016) construction on A-shares using Tushare turnover_rate.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 184 |
| Monthly mean | 1.1619% |
| Monthly std | 3.5433% |
| Annualized Sharpe | 1.14 |
| t-stat (simple) | 4.45 |
| Hit rate (months > 0) | 70.1% |
| Last 12M compounded | 8.57% |
| Cumulative wealth (start = 1) | 7.468 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +3.22% | 7.100 | 5046 |
| 2025-06 | -0.42% | 7.070 | 5055 |
| 2025-07 | +2.36% | 7.237 | 5057 |
| 2025-08 | +0.45% | 7.270 | 5062 |
| 2025-09 | +3.44% | 7.520 | 5069 |
| 2025-10 | +1.63% | 7.643 | 5075 |
| 2025-11 | +1.13% | 7.729 | 5081 |
| 2025-12 | -0.38% | 7.699 | 5088 |
| 2026-01 | -0.60% | 7.653 | 5095 |
| 2026-02 | +1.52% | 7.769 | 5099 |
| 2026-03 | -1.32% | 7.666 | 5105 |
| 2026-04 | -2.59% | 7.468 | 5101 |
Known data issues
Turnover_rate_f vendor artifacts at the long end of the panel motivate using the total-share turnover_rate variant.
Notes
A-share native predictor with retail-driven speculative microstructure.
See also: Liquidity family, Factor library, Factor returns.