Core Insights - The low-volatility dividend ETF (512890) has seen a continuous increase in both fund size and shares over the past two weeks, indicating a growing interest from investors despite the overall pressure on dividend styles this year [1] Fund Performance - The low-volatility dividend ETF (512890) and the dividend ETF (510880) recorded significant trading volumes on March 26, 2025, with transaction amounts of 190 million yuan and 220 million yuan respectively, showing a notable increase compared to the previous trading day [1] - From March 10 to March 25, 2025, the low-volatility dividend ETF (512890) experienced a growth of 30.9 million shares and an increase in fund size by 79.2 million yuan, marking two consecutive weeks of net growth [1] - Cumulatively, the low-volatility dividend ETF (512890) attracted 364 million yuan in investments during this period [1] Market Position - As of March 25, 2025, the dividend ETF (510880) and the low-volatility dividend ETF (512890) have reached fund sizes of 22.234 billion yuan and 14.306 billion yuan respectively, making them the only two dividend-themed ETFs in the A-share market with sizes exceeding 10 billion yuan [1]

Group 1: Market Overview - A-shares experienced a narrow range of consolidation with the Shanghai Composite Index closing at 3369.98 points, a slight decline, while the Shenzhen Component Index and the ChiNext Index also fell by 0.43% and 0.33% respectively [1] - The trading volume in A-shares decreased to 1.29 trillion from 1.47 trillion the previous day [1] Group 2: Dividend Stocks and ETFs - The Shanghai National Enterprise Dividend Index has dropped over 4% year-to-date, with the overall dividend yield increasing from 4.94% at the end of 2024 to 6.69% [1] - The Red Chip ETF rose by 1.26%, indicating a stable core logic for dividends, suggesting a potential return to allocation range after adjustments [2] - Insurance funds have received approval for long-term stock investment totaling 162 billion, which may lead to increased allocation towards high-dividend assets [2] Group 3: AI and Technology Sector - The technology and AI sectors are currently undergoing a correction, with the Hong Kong Technology ETF down 2.85% [4] - Nvidia's CEO highlighted a significant increase in demand for computing power, predicting data center capital expenditures to reach approximately $500 billion this year [5][6] - The semiconductor industry remains optimistic, with 92% of executives expecting revenue growth in the coming year, despite economic uncertainties [6] Group 4: Consumer Electronics and Home Appliances - The home appliance and consumer electronics ETFs have seen declines of 0.84% and 1.56% respectively, but factors like AI integration and consumption subsidies may drive future growth [8] - The 2025 China Home Appliance and Consumer Electronics Expo showcased trends in AI integration among home appliance companies [8][9] - China's home appliance exports reached $112.4 billion in 2024, a 14% year-on-year increase, indicating strong global demand [9]

ETF市场日报 | 纳指相关跨境ETF领涨，红利资产韧性凸显 2025年3月24日，Wind数据显示，A股三大指数红盘报收，沪指涨0.15%；深证成指涨0.07%；创业板指涨0.01%。沪深两市成交额达到14507亿，较上周 五缩量1001亿。 涨幅方面，纳指100ETF(513390)上涨近5% | 证券代码 | 证券名称 | ETF涨幅 TOP10 | | | | --- | --- | --- | --- | --- | | | | 涨幅 | 基金管理人 | 投资类型 | | 513390 | 纳指100ETF | 4.98% | 博时基金 | QDII股票型基金 | | 159632 | 纳斯达克ETF | 2.85% | 华安基金 | QDII股票型基金 | | 159509 | 纳指科技ETF | 2.31% | 景顺长城基金 | QDII股票型基金 | | 159529 | 标普消费ETF | 2.28% | 景顺长城基金 | QDII股票型基金 | | 159941 | 纳指ETF | 2. 26% | 广发基金 | QDII股票型基金 | | 513300 | 纳斯达克ETF | 2.23% ...

以下文章来源于申万宏源证券上海分公司 ，作者杨敏 申万宏源证券上海分公司 . 申万宏源证券上海分公司官微，能为您提供账户开立、软件下载、研究所及投顾资讯等综合服务，为您 的财富保驾护航。 摘要： 短期震荡还将继续，耐心等待流动性和四月决断催化的落地。 ------------------ 盘面走弱体现在三方面： 一、一直是市场情绪指标的北证50周四开始出现了趋势的破位，影响小盘股的情绪。 二、盘面近期连续的负反馈，这周科技多个发布会和财报落地，对于一些财报超预期的公司，相关板块 走势偏弱。 三、低位持续性不强，高位没有增量。 展开说，低位的顺周期品种，反弹一波修复估值后，近期涨不动了，等待宏观数据的催化。高位的科技 股，新催化有，但市场对普通的消息已经反馈递减，从deepseek到阿里财报到manus到近期的腾讯、小 米财报，对板块的拉动边际效应降低。新进的资金也不愿意在没有调整的时候直接进场买科技。 以上三个现象造成了近期市场走势的震荡，破局点在于两方面; 1、流动性 周四凌晨美联储利率决议三个要点：3月不降息以及年内有望两次降息都符合预期，但有一个超预期， 即4月1日开始放缓资产负债表缩减步伐。明显偏鸽派 ...

Investment Rating - The report maintains a positive outlook for the market in the next 3 to 6 months, indicating an early stage of asset revaluation and gradual stabilization of fundamentals [3][8]. Core Insights - Economic data for January-February 2025 shows a stable start, with a year-on-year growth of 4% in retail sales, driven by online channels [3][4]. - The report highlights a recovery in the home furnishing sector starting from early March, with key recommended companies including Gujia, Xilinmen, and Sophia [3][15]. - The technology growth sectors, particularly in computing power, cloud computing, and AI applications, are identified as key investment themes [3][8]. - The bond market is expected to present trading opportunities due to anticipated monetary policy easing after the second quarter [3][10]. - The commodity market is experiencing a mild recovery, with a strong outlook for non-ferrous metals and a bearish view on black metals [3][11]. Economic Performance - Fixed asset investment grew by 4.1% year-on-year in January-February, with infrastructure investment up by 10% and manufacturing investment up by 9% [5]. - The real estate market shows a decline in investment, with a 9.8% year-on-year drop, but new housing prices are stabilizing [5][26]. - The retail sector shows a mixed performance, with essential goods maintaining growth while discretionary items like sports and office supplies perform well [3][12]. Sector-Specific Insights - The beauty sector shows significant recovery, with online sales growth of 18% in January-February, highlighting strong performance from domestic brands [3][16][17]. - The dining and hotel industry is experiencing growth, with a 4.3% year-on-year increase in restaurant sales, although some brands face challenges [3][22][23]. - The agricultural sector, particularly in pork and poultry, is expected to benefit from policy-driven consumption recovery, with leading companies like Muyuan and Wens Foodstuffs showing improved market share [3][24][25]. Recommendations - The report suggests focusing on high-dividend state-owned banks and companies with stable regional economic prospects for investment [3][21]. - In the construction materials sector, companies like China National Building Material and Anhui Conch Cement are recommended due to potential price increases [3][27][28]. - For the home improvement sector, companies such as Three Trees and North New Materials are highlighted for their expected demand recovery [3][29].

Core Viewpoint - The article reviews the performance of the dividend style in 2024, analyzes the timing effects of the dividend style in a low interest rate environment from an overseas perspective, introduces dividend stock selection strategies and event effects, and provides an outlook on the future performance of the dividend style in the current low interest rate environment [1][10]. Group 1: Dividend Performance in 2024 - The dividend style showed strong performance in 2024, with excess returns relative to the CSI All Share Index from 2021 to 2024, indicating a stable return profile [3]. - Since the end of May 2024, there has been a degree of internal differentiation within the dividend style, with financial and utility sectors maintaining stability while cyclical sectors experienced some pullback [3]. - Insurance funds have increased their allocation to dividend assets, as evidenced by the top holders of dividend ETFs [3]. Group 2: Timing of Dividend Style - The analysis draws on experiences from the US, UK, Germany, and Japan to assess how dividend and growth styles perform in low interest rate environments [4][14]. - Both dividend and growth styles performed well in low interest rate environments, with annualized returns of 21%, 11%, 8%, and 10% in the US, UK, Germany, and Japan respectively [4][15]. - Growth style is more sensitive to interest rate changes, with dividend style potentially having an advantage during periods of rising low interest rates [4][17]. Group 3: Dividend Stock Selection Strategy - A constrained dividend selection strategy, limiting industry and market capitalization deviations to within 5% of the CSI Dividend Index, achieved a stable excess return of 4.74% in 2024 and an annualized excess return of 7.65% since 2010 [6][33]. - Companies announcing high dividend plans typically achieve excess returns around the announcement date, with a notable effect observed in the period leading up to the ex-dividend date [6][38]. Group 4: Outlook for Dividend Style - The overall outlook for the dividend style in a low interest rate environment is positive, with expectations of absolute returns driven by interest rate trends and the influx of medium to long-term capital [7][37]. - The anticipated decline in interest rates in 2025 may favor growth style, but the expansion of medium to long-term capital inflows could further boost the dividend style [7][36].

Quantitative Models and Construction Methods 1. Model Name: DTW Timing Model - **Model Construction Idea**: Based on the principle of similarity and the Dynamic Time Warping (DTW) algorithm, this model identifies timing signals by comparing current market trends with historical patterns[4][25] - **Model Construction Process**: - The model calculates the similarity between the current index trend and historical market trends using the DTW distance metric, which is more flexible than Euclidean distance for time-series data[27] - Historical segments with high similarity are selected as references - The weighted average future returns and standard deviations of these historical segments are calculated (weights are the inverse of the DTW distance) - Trading signals are generated based on the average future returns and standard deviations[25] - Improved DTW algorithms, such as those with Sakoe-Chiba and Itakura boundary constraints, are used to address issues like "over-warping" in traditional DTW[29] - **Model Evaluation**: The DTW algorithm is particularly suitable for time-series problems and outperforms other methods due to its flexibility in handling temporal misalignments[27] 2. Model Name: Foreign Capital Timing Model - **Model Construction Idea**: This model leverages the price movements of offshore assets related to A-shares to generate timing signals for the A-share market[32] - **Model Construction Process**: - Two offshore assets are used: FTSE China A50 Index Futures (Singapore market) and Southern A50 ETF (Hong Kong market) - For FTSE China A50 Index Futures, two indicators are constructed: basis and price deviation - For Southern A50 ETF, a price deviation indicator is constructed - Timing signals from these two assets are combined to form the overall foreign capital timing signal[32] --- Model Backtesting Results 1. DTW Timing Model - **Out-of-Sample Performance (Since November 2022)**: - Absolute return: 25.38% - Excess return over CSI 300: 19.02% - Maximum drawdown: 20.07% - Weekly win rate: Over 60% - Weekly win rate in 2024: Over 70%[4][16] - **Performance in 2024 (CSI 300)**: - Absolute return: 23.58% - Excess return: 5.27% - Maximum drawdown: 14.88% - Trading win rate: 63.64% - Profit-loss ratio: 2.64[16] 2. Foreign Capital Timing Model - **Full-Sample Performance (2014-2024)**: - Annualized return: 18.96% (long-short), 14.19% (long-only) - Maximum drawdown: 25.69% (long-short), 17.27% (long-only) - Daily win rate: Nearly 55% - Profit-loss ratio: Above 2.5[18] - **Out-of-Sample Performance in 2024**: - Long-only strategy: - Absolute return: 28.05% - Maximum drawdown: 8.32% - Long-short strategy: - Absolute return: 21.66% - Maximum drawdown: 13.14%[21]