Changjiang Securities(SZ:000783) Changjiang Securities·2025-11-30 23:30Quantitative Models and Construction Methods Dividend Enhancement Portfolio - Model Name: Dividend Enhancement Portfolio - Model Construction Idea: The model focuses on selecting high-quality dividend stocks and constructing portfolios that outperform the benchmark dividend index by leveraging dividend quality and growth factors[7][15][21] - Model Construction Process: - The portfolio is constructed by selecting stocks with high dividend yields and strong dividend growth potential - The selection process incorporates a combination of fundamental analysis and quantitative screening to identify stocks with stable and growing dividends - The portfolio is rebalanced periodically to ensure alignment with the dividend quality and growth criteria[13][14][15] - Model Evaluation: The model demonstrates strong performance in capturing excess returns over the benchmark dividend index, particularly in volatile market conditions[7][15][21] Electronic Balanced Allocation Enhancement Portfolio - Model Name: Electronic Balanced Allocation Enhancement Portfolio - Model Construction Idea: This model aims to achieve excess returns by balancing exposure across various sub-sectors within the electronics industry, focusing on growth and stability[7][24][29] - Model Construction Process: - The portfolio is constructed by allocating weights to sub-sectors such as LED chips and semiconductor distribution, which exhibit strong growth potential - Quantitative screening is applied to identify leading companies within these sub-sectors - The portfolio is periodically rebalanced to maintain a balanced exposure across the electronics industry[13][14][24] - Model Evaluation: The model effectively captures excess returns and ranks in the top 15% of active technology-themed products in terms of weekly performance[7][24][29] --- Model Backtesting Results Dividend Enhancement Portfolio - Weekly Excess Return: Approximately 0.23% for the "Central SOE High Dividend 30 Portfolio" and 1.45% for the "Balanced Dividend 50 Portfolio"[7][15][21] - Year-to-Date Excess Return: The "Balanced Dividend 50 Portfolio" achieved an excess return of approximately 7.91% relative to the benchmark dividend index, ranking in the top 35% of all dividend-themed funds[21] Electronic Balanced Allocation Enhancement Portfolio - Weekly Excess Return: Approximately 0.89%, ranking in the top 15% of active technology-themed products[7][24][29]