广发中证国新港股通央企红利 ETF（520900）：关注港股通高息资产，把握红利属性投资机遇

Quantitative Models and Construction Methods - Model Name: China Securities Guoxin Hong Kong Stock Connect Central Enterprise Dividend Index Model Construction Idea: The index is designed to reflect the overall performance of listed central enterprises with high dividend yields and stable dividend levels within the scope of Hong Kong Stock Connect, focusing on high-dividend assets[9][55] Model Construction Process: 1. Sample Space: Select securities from the China Securities Hong Kong Stock Connect Composite Index sample[57] 2. Liquidity Screening: Exclude securities with a median monthly turnover rate below 0.1% over the past 12 or 3 months unless their average daily trading amount exceeds HKD 50 million in the past year[57] 3. Selection Criteria: - Select securities controlled by the State-owned Assets Supervision and Administration Commission (SASAC) or listed in the SASAC central enterprise directory - Include the top-ranked securities in terms of daily average market capitalization in the financial and real estate sectors, and all securities in other industries - Further filter securities that have paid dividends for three consecutive years, with an average dividend payout ratio between 0 and 1 over the past three years - Rank the remaining securities by their average dividend yield over the past three years and select the top 50 as index components[57] Model Evaluation: The index emphasizes high-dividend attributes, low valuation, and stable profitability, making it attractive for investors seeking defensive and income-generating strategies[9][55] Model Backtesting Results - China Securities Guoxin Hong Kong Stock Connect Central Enterprise Dividend Index: - Annualized Dividend Yield (2021-2025): Above 8% consistently[9][72][73] - Annualized Volatility (2025): 18.00% (Price Index), 17.83% (Total Return Index), lower than most common Hang Seng broad-based indices[86] - Annualized Return (2025): 17.27% (Price Index), 26.83% (Total Return Index), significantly outperforming other indices[40][86] - Cumulative Return (2016-2025): 140.08%, with excess returns of 97.28% and 123.19% over the Hang Seng Stock Connect Index and Hang Seng Index, respectively[80][83] Quantitative Factors and Construction Methods - Factor Name: High Dividend Yield Factor Factor Construction Idea: Focus on securities with high and stable dividend yields to capture income-generating opportunities and defensive characteristics[9][55] Factor Construction Process: 1. Calculate the average dividend yield over the past three years for each security 2. Rank securities by their average dividend yield 3. Select the top 50 securities with the highest average dividend yield as the factor sample[57] Factor Evaluation: The factor demonstrates strong income-generating potential and defensive attributes, particularly in volatile market conditions[9][55] Factor Backtesting Results - High Dividend Yield Factor: - Annualized Dividend Yield (2021-2025): Above 8% consistently, outperforming other common Hang Seng indices[9][72][73] - Annualized Volatility (2025): 18.00% (Price Index), 17.83% (Total Return Index), indicating better risk control compared to other indices[86] - Annualized Return (2025): 17.27% (Price Index), 26.83% (Total Return Index), showcasing strong return potential[40][86] - Cumulative Return (2016-2025): 140.08%, with significant excess returns over other indices[80][83]