红利风格择时周报（1222-1226）-20251230

Quantitative Models and Construction Methods 1. Model Name: Dividend Style Timing Model Model Construction Idea: The model is designed to time the dividend style by aggregating multiple factors that influence the performance of dividend-related stocks. The comprehensive factor value is used to determine the timing signal for the dividend style[6]. Model Construction Process: - The model aggregates several sub-factors, including U.S. Treasury yields, the spread between dividend yield and Chinese bond yields, and industry sentiment indicators. - The comprehensive factor value is calculated as a weighted sum of these sub-factors. - The model outputs a signal based on whether the comprehensive factor value is greater than or less than zero. A positive value indicates a favorable timing signal, while a negative value suggests an unfavorable signal[6][7]. Model Evaluation: The model provides a systematic approach to timing the dividend style, but its effectiveness depends on the stability and predictive power of the underlying factors[6][7]. --- Model Backtesting Results 1. Dividend Style Timing Model: - Comprehensive factor value for the week of 2025.12.22 to 2025.12.26: -0.55 - Comprehensive factor value for the previous week (2025.12.15 to 2025.12.19): -0.72 - The model's comprehensive factor value showed improvement but remained below zero, indicating no positive timing signal[6][7]. --- Quantitative Factors and Construction Methods 1. Factor Name: U.S. 10-Year Treasury Yield Factor Construction Idea: This factor reflects the impact of U.S. Treasury yields on dividend style performance. A decline in yields is generally considered supportive of dividend stocks[7]. Factor Construction Process: The factor value is derived from the weekly change in the 10-year U.S. Treasury yield. A negative value indicates a decline in yields, which is expected to positively influence the dividend style[11]. 2. Factor Name: Spread Between Dividend Yield and 10-Year Chinese Bond Yield Factor Construction Idea: This factor measures the relative attractiveness of dividend yields compared to risk-free bond yields in China. A wider spread is considered favorable for dividend stocks[7]. Factor Construction Process: - The factor value is calculated as the difference between the dividend yield of the CSI Dividend Index and the 10-year Chinese bond yield. - A positive value indicates that dividend yields are higher than bond yields, which is supportive of the dividend style[11]. 3. Factor Name: Industry Sentiment Indicator Factor Construction Idea: This factor captures the overall sentiment in the industry, which can influence the performance of dividend stocks. Positive sentiment is expected to support the dividend style[7]. Factor Construction Process: The factor value is derived from analysts' assessments of industry conditions. A higher value indicates stronger sentiment, which is favorable for dividend stocks[11]. --- Factor Backtesting Results 1. U.S. 10-Year Treasury Yield: - Factor value on 2025.12.26: -0.91 - Factor value on 2025.12.19: -1.08 - Factor value on 2025.11.30: -1.32[11] 2. Spread Between Dividend Yield and 10-Year Chinese Bond Yield: - Factor value on 2025.12.26: 0.72 - Factor value on 2025.12.19: 0.32 - Factor value on 2025.11.30: -0.32[11] 3. Industry Sentiment Indicator: - Factor value on 2025.12.26: 1.65 - Factor value on 2025.12.19: 1.77 - Factor value on 2025.11.30: 1.97[11]