红利风格择时周报（1208-1212）-20251213

• The Dividend Style Timing Model's comprehensive factor value for the week of December 8, 2025, to December 12, 2025, is -0.72, which is a slight decline from the previous week's value of -0.65, and it remains below 0, indicating no positive signal[1][4][6] - The decline in the comprehensive factor value is mainly due to the significant drop in dividends last week, which resulted in a negative contribution from the momentum factor, and a slight recovery in market sentiment, which weakened the positive contribution to dividends[4][9] - The main negative contributions to the dividend score from the stock factors are the downward trend in US Treasury yields and the recovery in analyst industry sentiment, while other factors showed no significant changes[4][9] Quantitative Models and Construction Methods 1. Model Name: Dividend Style Timing Model - Model Construction Idea: The model aims to time the dividend style by evaluating various factors that influence dividend performance. - Model Construction Process: The model aggregates multiple factors to compute a comprehensive factor value. The factors include momentum, market sentiment, US Treasury yields, and analyst industry sentiment. The comprehensive factor value is calculated as a weighted sum of these individual factors. - Model Evaluation: The model's comprehensive factor value has shown a decline, indicating no positive signal for dividend style timing[1][4][6] Model Backtesting Results 1. Dividend Style Timing Model: Comprehensive factor value for the week of December 8, 2025, to December 12, 2025, is -0.72, compared to -0.65 for the previous week[1][4][6] Quantitative Factors and Construction Methods 1. Factor Name: Momentum Factor - Factor Construction Idea: The momentum factor measures the performance trend of dividends over a specific period. - Factor Construction Process: The momentum factor is calculated based on the rate of change in dividend performance over the past period. - Factor Evaluation: The momentum factor contributed negatively to the comprehensive factor value due to the significant drop in dividends last week[4][9] 2. Factor Name: Market Sentiment Factor - Factor Construction Idea: The market sentiment factor gauges the overall market mood and its impact on dividend performance. - Factor Construction Process: The market sentiment factor is derived from various market indicators that reflect investor sentiment. - Factor Evaluation: The market sentiment factor's positive contribution to dividends weakened slightly due to a slight recovery in market sentiment[4][9] 3. Factor Name: US Treasury Yields Factor - Factor Construction Idea: The US Treasury yields factor assesses the impact of US Treasury yields on dividend performance. - Factor Construction Process: The factor is calculated based on the trend in US Treasury yields, particularly the 10-year yield. - Factor Evaluation: The downward trend in US Treasury yields contributed negatively to the dividend score[4][9] 4. Factor Name: Analyst Industry Sentiment Factor - Factor Construction Idea: The analyst industry sentiment factor evaluates the sentiment of industry analysts and its effect on dividend performance. - Factor Construction Process: The factor is derived from the average sentiment scores of industry analysts. - Factor Evaluation: The recovery in analyst industry sentiment contributed negatively to the dividend score[4][9] Factor Backtesting Results 1. Momentum Factor: Contributed negatively to the comprehensive factor value due to the significant drop in dividends last week[4][9] 2. Market Sentiment Factor: Positive contribution to dividends weakened slightly due to a slight recovery in market sentiment[4][9] 3. US Treasury Yields Factor: Downward trend in US Treasury yields contributed negatively to the dividend score[4][9] 4. Analyst Industry Sentiment Factor: Recovery in analyst industry sentiment contributed negatively to the dividend score[4][9]