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Quantitative Models and Construction Methods - Model Name: Dividend Style Timing Model Model Construction Idea: The model is designed to evaluate the timing of dividend style investments by aggregating multiple factors into a composite score. The score reflects the attractiveness of the dividend style based on various market and macroeconomic indicators[6][9]. Model Construction Process: 1. The model aggregates multiple factors, including macroeconomic indicators, market sentiment, and momentum factors, to calculate a composite factor value. 2. The composite factor value is updated weekly to reflect the latest market conditions. 3. The composite factor value is used to determine whether the dividend style is in a favorable or unfavorable state. 4. For the week of March 16, 2026, to March 20, 2026, the composite factor value was -0.26, which remained negative but showed improvement compared to the previous week's value of -0.39[6][9]. Model Evaluation: The model effectively integrates multiple factors to provide a comprehensive view of the dividend style's timing. However, the composite factor value has not yet signaled a bullish outlook[6][9]. Quantitative Factors and Construction Methods 1. Factor Name: Sentiment Factor Factor Construction Idea: Measures market sentiment to assess its impact on the dividend style. Positive sentiment contributes positively to the composite score[9]. Factor Construction Process: - Sentiment is quantified using market data and behavioral indicators. - The factor's contribution to the composite score is calculated based on its correlation with dividend style performance. Factor Evaluation: The sentiment factor positively contributed to the composite score during the observed period, indicating its relevance in the model[9]. 2. Factor Name: Momentum Factor Factor Construction Idea: Captures the momentum of the dividend style to predict its future performance. Positive momentum contributes positively to the composite score[9]. Factor Construction Process: - Momentum is calculated using historical price data of dividend-related assets. - The factor's contribution is determined by its alignment with the overall market trend. Factor Evaluation: The momentum factor positively contributed to the composite score, supporting the dividend style's relative strength during the period[9]. 3. Factor Name: U.S. 10-Year Treasury Yield Factor Construction Idea: Reflects the impact of U.S. Treasury yields on the dividend style. Higher yields typically exert downward pressure on dividend-related assets[9][12]. Factor Construction Process: - The 10-year Treasury yield is directly incorporated as a factor. - Its contribution is calculated based on its inverse relationship with dividend style performance. Factor Evaluation: The factor's negative contribution to the composite score weakened during the observed period, as U.S. Treasury yields rose to a six-month high, reducing their suppressive effect on the dividend style[9][12]. 4. Factor Name: Dividend Relative Net Value Factor Construction Idea: Measures the relative performance of dividend-related assets compared to a benchmark. Positive relative performance contributes positively to the composite score[12]. Factor Construction Process: - The relative net value is calculated by comparing the performance of dividend-related assets to a benchmark index. - The factor's contribution is determined by its deviation from the benchmark. Factor Evaluation: This factor made a strong positive contribution to the composite score, reflecting the dividend style's outperformance during the period[12]. 5. Factor Name: Financing Net Purchase Factor Construction Idea: Tracks net financing purchases to gauge investor interest in dividend-related assets. Positive net purchases contribute positively to the composite score[12]. Factor Construction Process: - Net financing purchases are calculated using market transaction data. - The factor's contribution is based on its correlation with dividend style performance. Factor Evaluation: This factor showed a positive contribution during the observed period, indicating increased investor interest in dividend-related assets[12]. Model Backtesting Results - Dividend Style Timing Model: - Composite Factor Value (March 20, 2026): -0.26 - Composite Factor Value (March 13, 2026): -0.39 - Composite Factor Value (February 27, 2026): -0.54[6][12] Factor Backtesting Results 1. Sentiment Factor: Positive contribution to the composite score[9] 2. Momentum Factor: Positive contribution to the composite score[9] 3. U.S. 10-Year Treasury Yield: Negative contribution, but the suppressive effect weakened during the period[9][12] 4. Dividend Relative Net Value: Strong positive contribution to the composite score[12] 5. Financing Net Purchase: Positive contribution to the composite score[12]