中信证券研究·2025-03-12 00:19Core Viewpoint - The current dividend strategy shows significant bottom characteristics, indicating potential recovery momentum in the market [1][3][4]. Group 1: Quantitative Indicators - The dividend index has exhibited a rare "negative return - high volatility" feature over the past three months, deviating significantly from its long-term central distribution [1][3]. - As of March 7, the excess return of the dividend index compared to the CSI 300 index has dropped to -7%, with an excess volatility of 12%, suggesting a suitable window for contrarian investors [3]. - The dividend ETF is in a state of reduced net subscriptions, typically corresponding to a bottoming phase for the strategy, with net subscription volume decreasing to approximately 0.3 million yuan [3][4]. Group 2: Long-term Value of Dividend Strategy - The dividend strategy has high returns, low volatility, and low drawdown characteristics, with an annualized return of 14.14% and a Sharpe ratio of 0.64 from January 2006 to February 2025, making it the highest among various style indices [2]. - The dividend strategy remains an attractive allocation direction due to strengthened dividend policies, a low risk-free yield environment, and long-term capital inflow policies [2]. Group 3: Technical Indicators - The current volume indicator for the dividend style has fallen below the warning line (0.8), triggering a buy signal historically associated with significant rebounds in excess returns [4]. - The market turnover ratio for the dividend index has dropped below 5%, indicating a "cooling" phase in trading volume over the past five years, which suggests a safety margin for allocation [4][5].