Soochow Securities·2025-07-01 09:03Quantitative Models and Construction Methods 1. Model Name: Expected High Dividend Portfolio - Model Construction Idea: The model uses a two-stage process to construct the expected dividend yield indicator. The first stage calculates the dividend yield based on annual report profit distribution data, while the second stage predicts and calculates the dividend yield using historical dividend data and fundamental indicators. Additionally, two short-term factors—reversal factor and profitability factor—are used to assist in stock selection. The portfolio is optimized within the CSI 300 constituents[4][9] - Model Construction Process: 1. Exclude suspended and limit-up stocks from the CSI 300 constituents to form the initial stock pool[14] 2. Remove the top 20% of stocks with the highest short-term momentum (21-day cumulative returns)[14] 3. Exclude stocks with declining profitability (quarterly net profit growth rate < 0)[14] 4. Rank the remaining stocks by expected dividend yield and select the top 30 stocks to construct an equal-weighted portfolio[10] - Model Evaluation: The model demonstrates a systematic approach to identifying high-dividend stocks, leveraging both historical data and fundamental analysis for robust stock selection[4][9] --- Model Backtesting Results 1. Expected High Dividend Portfolio - Cumulative Return: 358.90% relative to the CSI 300 Total Return Index from February 2, 2009, to August 31, 2017[12] - Cumulative Excess Return: 107.44% over the same period[12] - Annualized Excess Return: 8.87%[12] - Maximum Drawdown of Rolling One-Year Excess Return: 12.26%[12] - Monthly Excess Win Rate: 60.19%[12] --- Quantitative Factors and Construction Methods 1. Factor Name: Expected Dividend Yield Factor - Factor Construction Idea: This factor predicts dividend yield by combining historical dividend data with fundamental indicators. It is used to identify stocks with high expected dividend yields[4][15] - Factor Construction Process: 1. Calculate dividend yield based on annual report profit distribution data[4][9] 2. Predict and calculate dividend yield using historical dividend data and fundamental indicators[4][9] - Factor Evaluation: The factor effectively integrates historical and fundamental data to predict dividend yields, providing a solid foundation for high-dividend stock selection[4][15] 2. Factor Name: Reversal Factor - Factor Construction Idea: This factor identifies stocks with short-term price reversals, which may impact dividend yield predictions[4][15] - Factor Construction Process: Measure short-term momentum using 21-day cumulative returns and exclude the top 20% of stocks with the highest momentum[14] - Factor Evaluation: The factor helps mitigate the impact of short-term price surges, ensuring a focus on stable dividend yield predictions[4][15] 3. Factor Name: Profitability Factor - Factor Construction Idea: This factor screens out stocks with declining profitability, ensuring the selection of fundamentally strong companies[4][15] - Factor Construction Process: Exclude stocks with quarterly net profit growth rates less than 0[14] - Factor Evaluation: The factor ensures the portfolio is composed of financially sound companies, enhancing the reliability of dividend yield predictions[4][15] --- Factor Backtesting Results 1. Expected Dividend Yield Factor - June 2025 Average Return: 1.84%[15] - Excess Return Relative to CSI 300: -0.83%[15] - Excess Return Relative to CSI Dividend Index: 2.40%[15] 2. Reversal Factor - Impact: Excluded the top 20% of stocks with the highest short-term momentum, ensuring stability in the portfolio's dividend yield predictions[14] 3. Profitability Factor - Impact: Excluded stocks with declining profitability, maintaining a focus on fundamentally strong companies[14]