Changjiang Securities(SZ:000783) Changjiang Securities·2025-09-22 02:13Quantitative Models and Construction Methods - Model Name: Dividend Selection Strategy Model Construction Idea: This strategy focuses on selecting high-quality dividend stocks by leveraging a top-down approach to identify industry and thematic core factors, aiming to refine stock-picking logic and enhance the precision of identifying potential targets within specific sectors[13][15] Model Construction Process: The model utilizes a fundamental factor library to screen for effective stock-picking factors. It emphasizes a combination of "stability" and "growth" styles, represented by two portfolios: the "Central SOE High Dividend 30 Portfolio" and the "Balanced Dividend 50 Portfolio"[15] Model Evaluation: The strategy demonstrates a significant excess return year-to-date, outperforming the benchmark by approximately 4.00%, and ranks around the 48th percentile among all dividend-related fund products[22] - Model Name: Industry High Success Rate Strategy Model Construction Idea: This strategy aims to track market hotspots and select individual stocks within high-performing industries, providing alternative perspectives for investment decisions[6][13] Model Construction Process: The strategy identifies industries with high success rates and selects stocks with strong thematic alignment and growth potential. It is part of the actively managed quantitative product suite launched since July 2023[6][13] Model Backtesting Results - Dividend Selection Strategy: - Excess return relative to the CSI Dividend Total Return Index: approximately 4.00% year-to-date[22] - Percentile ranking among dividend-related fund products: ~48%[22] - Industry High Success Rate Strategy: - No specific backtesting results provided in the report Quantitative Factors and Construction Methods - Factor Name: Dividend Quality Factor Factor Construction Idea: This factor emphasizes the quality of dividend-paying stocks, focusing on metrics that indicate financial stability and consistent dividend payouts[7][19] Factor Construction Process: The factor is derived from the CSI Dividend Quality Index, which achieved a weekly return of approximately 0.88%, outperforming pure dividend assets[7][19] Factor Evaluation: The factor demonstrates superior performance compared to other dividend-related indices, highlighting its effectiveness in capturing high-quality dividend stocks[7][19] Factor Backtesting Results - Dividend Quality Factor: - Weekly return: ~0.88%[7][19] - Outperformance relative to the CSI Dividend Index: +1.98%[19]