Soochow Securities·2025-12-02 06:35Quantitative Models and Construction Methods 1. Model Name: Expected High Dividend Portfolio - Model Construction Idea: The model is constructed using a two-stage process to create an expected dividend yield indicator. The first stage calculates the dividend yield based on annual report profit distribution, and the second stage predicts and calculates the dividend yield using historical dividends and fundamental indicators. Additionally, two short-term factors affecting dividend yield—reversal factor and profitability factor—are used to assist in screening. The model selects stocks from the CSI 300 constituents to construct the expected high dividend portfolio, which holds 30 stocks and rebalances monthly[3][8]. - Model Construction Process: 1. Exclude suspended and limit-up stocks from the CSI 300 constituents to form the candidate stock pool[9]. 2. Exclude the top 20% of stocks with the highest short-term momentum (21-day cumulative increase)[13]. 3. Exclude stocks with declining profitability (quarterly net profit growth rate less than 0)[13]. 4. Rank the remaining stocks in the pool by expected dividend yield and select the top 30 stocks to construct the portfolio with equal weight[9]. - Model Evaluation: The model's historical performance is impressive, with a cumulative return of 358.90% and a cumulative excess return of 107.44% relative to the CSI 300 Total Return Index. The annualized excess return is 8.87%, with a maximum rolling one-year drawdown of only 12.26% and a monthly excess win rate of 60.19%[11]. Model Backtest Results 1. Expected High Dividend Portfolio - Average Return (November 2025): 0.70%[14] - Excess Return Relative to CSI 300 Index: 3.08%[14] - Excess Return Relative to CSI Dividend Index: 2.31%[14] - Cumulative Return (2009-2017): 358.90%[11] - Cumulative Excess Return (2009-2017): 107.44%[11] - Annualized Excess Return (2009-2017): 8.87%[11] - Maximum Rolling One-Year Drawdown: 12.26%[11] - Monthly Excess Win Rate: 60.19%[11] Quantitative Factors and Construction Methods 1. Factor Name: Expected Dividend Yield Factor - Factor Construction Idea: The factor is constructed using a two-stage process. The first stage calculates the dividend yield based on annual report profit distribution, and the second stage predicts and calculates the dividend yield using historical dividends and fundamental indicators. Two short-term factors—reversal factor and profitability factor—are used to assist in screening[3][8]. - Factor Construction Process: 1. Calculate the dividend yield based on annual report profit distribution[8]. 2. Predict and calculate the dividend yield using historical dividends and fundamental indicators[8]. 3. Use the reversal factor and profitability factor to assist in screening[8]. - Factor Evaluation: The factor effectively identifies high dividend yield stocks, contributing to the construction of a high-performing portfolio[3][8]. Factor Backtest Results 1. Expected Dividend Yield Factor - Average Return (November 2025): 0.70%[14] - Excess Return Relative to CSI 300 Index: 3.08%[14] - Excess Return Relative to CSI Dividend Index: 2.31%[14] - Cumulative Return (2009-2017): 358.90%[11] - Cumulative Excess Return (2009-2017): 107.44%[11] - Annualized Excess Return (2009-2017): 8.87%[11] - Maximum Rolling One-Year Drawdown: 12.26%[11] - Monthly Excess Win Rate: 60.19%[11]