量化掘基系列之三十二：低估值高分红，把握优质稳健收益

Quantitative Models and Construction Methods 1. Model Name: Hang Seng Stock Connect China Central Enterprise Dividend Index - Model Construction Idea: The index aims to reflect the overall performance of high-dividend securities listed in Hong Kong, which are accessible via the Stock Connect program and have a central enterprise (SOE) as their largest shareholder[34][35] - Model Construction Process: - Sample Space: Includes securities from the Hang Seng Composite Index that are not REITs and have a central enterprise as the largest shareholder (directly or indirectly)[35] - Selection Criteria: 1. Minimum listing history of one month 2. Liquidity requirements: turnover rate test and a 6-month daily average trading volume of at least HKD 20 million 3. Volatility filter: Excludes the top 10% of securities with the highest historical volatility over the past year 4. Dividend payment record: Must have paid cash dividends in the last three fiscal years 5. Dividend payout ratio: Between 0% and 100% in any of the last three fiscal years 6. Stock price performance: Excludes stocks with a price drop of over 50% in the past 12 months or those ranked in the bottom 10% in terms of price performance 7. Final selection: The top 40 securities with the highest net dividend yield are selected[35] - Weighting Method: Weighted by net dividend yield[35] - Adjustment Rules: Constituents ranked below 48 are removed, while those ranked 32 or above are added, maintaining a total of 40 constituents[35] - Model Evaluation: The index effectively captures high-dividend securities with stable performance and low valuation, making it attractive for defensive and income-focused investors[34][35] --- Model Backtesting Results 1. Hang Seng Stock Connect China Central Enterprise Dividend Index - Cumulative Return: 41.09%[36][37] - Annualized Return: 21.22%[36][37] - Annualized Volatility: 23.19%[36][37] - Sharpe Ratio: 0.91[36][37] --- Quantitative Factors and Construction Methods 1. Factor Name: Scale - Factor Construction Idea: Measures the size of constituent companies, reflecting their market capitalization[43] - Factor Exposure: 2.0339[43][45] 2. Factor Name: Dividend - Factor Construction Idea: Captures the dividend-paying ability of companies, emphasizing their cash flow stability and shareholder returns[43] - Factor Exposure: 0.4478[43][45] 3. Factor Name: Technical - Factor Construction Idea: Reflects short-term price movements and momentum characteristics of the securities[43] - Factor Exposure: 0.272[43][45] 4. Factor Name: Growth - Factor Construction Idea: Indicates the growth potential of companies, focusing on earnings and revenue expansion[43] - Factor Exposure: -0.1091[43][45] --- Factor Backtesting Results 1. Scale Factor - Exposure Value: 2.0339[43][45] 2. Dividend Factor - Exposure Value: 0.4478[43][45] 3. Technical Factor - Exposure Value: 0.272[43][45] 4. Growth Factor - Exposure Value: -0.1091[43][45]