基准约束下，构建新红利增长组合

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The China Securities Regulatory Commission has strengthened the binding effect of performance comparison benchmarks, which will impact fund company evaluation and fund manager assessments [8]. - A new dividend - growth portfolio is constructed to reduce the annualized tracking error compared to the original portfolio and achieve better returns [8][19]. - A preliminary exploration of the Hong Kong stock dividend - growth strategy shows different performance results under different construction methods [33][37]. - A new method is proposed to calculate analyst - related factors, and the improved factors are tested for their stock - selection effectiveness [42]. Summary by Relevant Catalogs 1. Adjusting the Dividend - Growth Portfolio under Benchmark Constraints - The China Securities Regulatory Commission issued the "Action Plan for Promoting the High - Quality Development of Public Funds", emphasizing the binding effect of performance comparison benchmarks on fund company and manager evaluations [8]. - From 2016 to 2024, the annualized tracking error of the original dividend - growth portfolio relative to the CSI Dividend Index was 9.08%, while that of the new portfolio was 5.82% [8]. 2. Construction of the New Dividend - Growth Portfolio - The new portfolio is constructed from two dimensions: past three - year stable dividend ratio and expected profit growth, and past two - year consecutive dividend increase and expected profit growth [12]. - The stocks screened from the two dimensions are combined to form a stock pool with an average of 572 stocks since 2016 [13]. - Further stock - selection is carried out in the stock pool: first select the top 100 stocks with the highest average dividend yield in the past three years, then select the top 50 stocks with high growth factors, and weight the stocks in the portfolio by the latest annual dividend yield [17][18]. - From 2016/1/1 to 2025/5/31, the new dividend - growth portfolio had an annualized return of 12.08%, compared to 6.84% of the CSI Dividend Total Return Index, with an annualized excess return of 5.24% [19]. - In terms of dividend yield, the new portfolio is similar to the CSI Dividend Index historically and slightly higher in the next - year weighted dividend yield [23]. - In industry distribution, the new portfolio is under - weighted in transportation, power and utilities, steel, and petroleum and petrochemical industries, and over - weighted in banking, construction, and non - banking finance industries compared to the CSI Dividend Index [25]. - In terms of market capitalization, the new portfolio has a smaller market capitalization than the CSI Dividend Index but is still large - cap in absolute terms [28]. 3. Preliminary Exploration of the Hong Kong Stock Dividend - Growth Strategy - From a posteriori perspective, in the Hong Kong Stock Connect sample pool, a known dividend - growth portfolio and a benchmark portfolio are constructed. From 2014/12/31 to 2025/4/30, the annualized return of the known dividend - growth portfolio was 14.21%, compared to 8.28% of the benchmark portfolio, with an annualized excess return of 5.92% [33][34]. - Using a simple momentum strategy to construct a Hong Kong stock dividend - growth portfolio did not achieve significant excess returns, indicating its ineffectiveness [37]. 4. Appendix: Improvement of Analyst Factors - A new method is proposed to calculate analyst - related factors, considering the timeliness of analyst earnings forecasts after performance announcements [42]. - Taking the "consensus expected net profit change" and "analyst earnings upgrade ratio" as examples, the improved factors are reconstructed and their stock - selection effectiveness is tested [45]. - Back - testing shows that the improved factors generally have better stock - selection effectiveness than the initial factors [47][48][57].