红利指数的投资价值分析

Quantitative Models and Construction Methods Dividend Indices and Their Construction 1. Model Name: CSI Dividend Index (000922.CSI) - Construction Idea: Selects high-dividend stocks from the CSI All Share Index based on liquidity, market capitalization, and dividend payout criteria [12][13] - Construction Process: 1. Sample space includes A-shares and red-chip stocks meeting the following: - Top 80% in average daily market capitalization and trading volume over the past year - Continuous cash dividends for the past three years with average and last-year dividend payout ratios between 0 and 1 2. Stocks are ranked by the average cash dividend yield over the past three years, and the top 100 are selected 3. Buffer rules are applied to retain original samples unless they fail specific criteria (e.g., cash dividend yield > 0.5%) 4. Weighted by dividend yield [12][13][14] - Evaluation: Exhibits high-dividend, low-valuation, and low-beta characteristics, with significant exposure to banking, coal, and transportation sectors [15] 2. Model Name: SSE Dividend Index (000015.SH) - Construction Idea: Similar to the CSI Dividend Index but limited to Shanghai-listed stocks [19][20] - Construction Process: 1. Sample space includes Shanghai A-shares meeting criteria such as: - Top 80% in market capitalization and trading volume over the past year - Continuous cash dividends for the past three years with payout ratios between 0 and 1 2. Top 50 stocks ranked by three-year average cash dividend yield are selected 3. Buffer rules are applied to retain original samples unless they fail specific criteria (e.g., cash dividend yield > 0.5%) 4. Weighted by dividend yield [19][20][21] - Evaluation: Shares similar characteristics with the CSI Dividend Index, including high-dividend, low-valuation, and low-beta traits [22] 3. Model Name: CNI Dividend Index (399321.SZ) - Construction Idea: Focuses on cumulative dividend amounts and liquidity, with additional qualitative factors [25][26] - Construction Process: 1. Sample space includes A-shares and red-chip stocks meeting criteria such as: - At least two years of dividends in the past three years - Dividend yield ranking in the top 20% for at least two years - Average daily trading volume > 5 million CNY in the last six months 2. Stocks are ranked based on cumulative dividends and liquidity, with qualitative adjustments for governance and cash flow 3. Top 50 stocks are selected and weighted by free-float market capitalization [25][26][27] - Evaluation: Exhibits less exposure to dividend yield but higher exposure to large-cap stocks, with significant weights in banking, food & beverage, and non-bank financial sectors [28] 4. Model Name: SZSE Dividend Index (399324.SZ) - Construction Idea: Similar to the CNI Dividend Index but limited to Shenzhen-listed stocks [32][33] - Construction Process: 1. Sample space includes Shenzhen A-shares meeting criteria such as: - At least two years of dividends in the past three years - Dividend yield ranking in the top 20% for at least two years - Average daily trading volume > 5 million CNY in the last six months 2. Stocks are ranked based on cumulative dividends and liquidity, with qualitative adjustments for governance and cash flow 3. Top 40 stocks are selected and weighted by free-float market capitalization [32][33][34] - Evaluation: Shows lower dividend yield exposure and higher large-cap exposure, with significant weights in home appliances, food & beverage, and electronics sectors [35] --- Backtesting Results of Models Dividend Broad-Based Indices 1. CSI Dividend Index: - 2014-2024 Annualized Return: 7.75% - Sharpe Ratio: 0.37 - Dividend Yield: 4.33% - 2021-2024 Annualized Return: 2.49% - Sharpe Ratio: 0.16 - Dividend Yield: 5.61% [100] 2. SSE Dividend Index: - 2014-2024 Annualized Return: 5.28% - Sharpe Ratio: 0.26 - Dividend Yield: 4.92% - 2021-2024 Annualized Return: 3.17% - Sharpe Ratio: 0.19 - Dividend Yield: 6.38% [100] 3. CNI Dividend Index: - 2014-2024 Annualized Return: 7.37% - Sharpe Ratio: 0.35 - Dividend Yield: 3.75% - 2021-2024 Annualized Return: -5.87% - Sharpe Ratio: -0.35 - Dividend Yield: 4.64% [100] 4. SZSE Dividend Index: - 2014-2024 Annualized Return: 6.91% - Sharpe Ratio: 0.28 - Dividend Yield: 2.81% - 2021-2024 Annualized Return: -14.78% - Sharpe Ratio: -0.73 - Dividend Yield: 3.18% [100]