Quantitative Models and Construction Methods - **Model Name**: Value Smart Beta Portfolio **Model Construction Idea**: The Value Smart Beta portfolios are constructed based on the goal of achieving high beta elasticity and long-term stable excess returns. The portfolios are designed to capture the value style with low historical correlation to other styles[7] **Model Construction Process**: Two portfolios are constructed under the value style: the "Value 50 Portfolio" and the "Value Balanced 50 Portfolio". These portfolios are selected and weighted to optimize for the value factor while maintaining diversification and minimizing correlation with other factors[7] **Model Evaluation**: The Value Smart Beta portfolios demonstrate a focus on capturing value-oriented excess returns, but their performance is sensitive to market conditions[7] - **Model Name**: Growth Smart Beta Portfolio **Model Construction Idea**: The Growth Smart Beta portfolios aim to capture the growth style with high beta elasticity and long-term stable excess returns. These portfolios are designed to have low historical correlation with other styles[7] **Model Construction Process**: Two portfolios are constructed under the growth style: the "Growth 50 Portfolio" and the "Growth Balanced 50 Portfolio". The portfolios are optimized to emphasize growth characteristics while maintaining diversification[7] **Model Evaluation**: The Growth Smart Beta portfolios are effective in capturing growth-oriented returns but may underperform in value-dominated market conditions[7] - **Model Name**: Small-Cap Smart Beta Portfolio **Model Construction Idea**: The Small-Cap Smart Beta portfolios are designed to capture the small-cap style with high beta elasticity and long-term stable excess returns. These portfolios are constructed to have low historical correlation with other styles[7] **Model Construction Process**: Two portfolios are constructed under the small-cap style: the "Small-Cap 50 Portfolio" and the "Small-Cap Balanced 50 Portfolio". The portfolios are optimized to emphasize small-cap characteristics while maintaining diversification[7] **Model Evaluation**: The Small-Cap Smart Beta portfolios show strong performance in capturing small-cap excess returns, particularly in favorable market environments[7] --- Model Backtesting Results - **Value 50 Portfolio**: - Weekly Absolute Return: -2.12% - Weekly Excess Return: -0.41% - Monthly Absolute Return: 0.20% - Monthly Excess Return: 0.33% - Year-to-Date Absolute Return: 12.44% - Year-to-Date Excess Return: 8.78% - Maximum Relative Drawdown: 2.35%[8] - **Value Balanced 50 Portfolio**: - Weekly Absolute Return: -0.46% - Weekly Excess Return: 1.26% - Monthly Absolute Return: 0.48% - Monthly Excess Return: 0.61% - Year-to-Date Absolute Return: 10.16% - Year-to-Date Excess Return: 6.50% - Maximum Relative Drawdown: 3.99%[8] - **Growth 50 Portfolio**: - Weekly Absolute Return: -1.48% - Weekly Excess Return: 0.68% - Monthly Absolute Return: -0.71% - Monthly Excess Return: -0.31% - Year-to-Date Absolute Return: 4.50% - Year-to-Date Excess Return: 2.38% - Maximum Relative Drawdown: 3.61%[8] - **Growth Balanced 50 Portfolio**: - Weekly Absolute Return: -1.64% - Weekly Excess Return: 0.53% - Monthly Absolute Return: 0.06% - Monthly Excess Return: 0.46% - Year-to-Date Absolute Return: 8.71% - Year-to-Date Excess Return: 6.59% - Maximum Relative Drawdown: 6.11%[8] - **Small-Cap 50 Portfolio**: - Weekly Absolute Return: 1.25% - Weekly Excess Return: 1.43% - Monthly Absolute Return: 1.07% - Monthly Excess Return: 0.85% - Year-to-Date Absolute Return: 36.52% - Year-to-Date Excess Return: 19.90% - Maximum Relative Drawdown: 6.23%[8] - **Small-Cap Balanced 50 Portfolio**: - Weekly Absolute Return: -1.09% - Weekly Excess Return: -0.90% - Monthly Absolute Return: 0.61% - Monthly Excess Return: 0.39% - Year-to-Date Absolute Return: 26.60% - Year-to-Date Excess Return: 9.98% - Maximum Relative Drawdown: 4.56%[8]

Group 1: Core Insights - The article discusses the increasing popularity of dividend indices among investors, highlighting their ability to provide regular cash flow and act as a compounding engine for wealth growth [2][9]. - Different investors adopt various strategies for dividend ETFs, such as using dividends for loan repayments, reinvesting for long-term growth, or investing in high-growth sectors [2][13][14]. Group 2: Dividend Indices and Selection Criteria - Dividend indices focus on companies with high dividend yields and consistent dividend payments, typically requiring at least three years of continuous dividends [4][5]. - The China Securities Dividend Index selects stocks based on criteria like past dividend payments and payout ratios, resulting in a sample pool of 1,816 stocks, from which the top 100 by average cash dividend yield are chosen [4][9]. Group 3: Performance and Adjustments - The China Securities Dividend Index had a dividend yield of 4.7% in early 2019, which increased to 5.7% by June 2025, despite a cumulative index increase of 41.2% [9]. - The index undergoes annual adjustments based on dividend yield, ensuring that stocks with lower yields are replaced by those with higher yields, maintaining a stable dividend income for investors [9]. Group 4: Investment Strategies - Investors focused on regular cash flow can benefit from holding multiple dividend ETFs with different payout schedules, allowing for monthly dividend income [10][15]. - Long-term investors can reinvest dividends from annual evaluation ETFs to maximize compounding effects, enhancing future returns [13]. - Investors seeking to invest dividends in high-growth sectors can allocate funds to emerging trend ETFs, balancing risk and potential returns [14]. - Those interested in combining dividend income with lower volatility can opt for "dividend+" series ETFs, which include factors like low volatility and valuation metrics [15].

Market Overview - Investment demand is expected to be boosted by further policy support, with a focus on the defensive value of consumption and dividend sectors[1] - In May, retail sales growth was strong, particularly in dining and retail goods, driven by "two new" policies, with notable performance in home appliances and communication equipment[2] - Fixed asset investment growth weakened marginally due to real estate investment drag, while government bonds remained a key support for new social financing in May[2] Market Sentiment - The A-share market is likely to continue a consolidation pattern in the short term, with risk premium levels nearing the 10-year average plus one standard deviation, indicating market sentiment is close to a short-term peak[2] - Short-term market dynamics are expected to remain volatile with rapid sector rotation, requiring patience for policy acceleration and sustained macroeconomic support[2] Investment Style - The market is anticipated to be dominated by low valuation factors in the short term, with small-cap, high-profit, and high-valuation stocks expected to outperform[2] - Credit growth and fundamental recovery in May were relatively weak, suggesting a continued preference for low-risk investments until policy release points arrive[2] Sector Focus - Attention should be given to essential consumption and dividend sectors during the risk disturbance window, with the top 10 industries for AI sector allocation including light industry manufacturing, public utilities, and pharmaceuticals[2] - The industry distribution primarily aligns with essential consumption and dividend styles, indicating a defensive investment strategy[2] Risk Factors - Risks include weaker-than-expected policy implementation and potential global recession risks exceeding expectations[2]

Core Viewpoint - The market is expected to continue a trend of oscillating upward in the coming week, supported by technical indicators and liquidity metrics [1][2]. Market Indicators - The liquidity shock index for the CSI 300 was 0.30, indicating higher liquidity than the average level over the past year by 0.30 standard deviations [2]. - The PUT-CALL ratio for the SSE 50 ETF options decreased to 0.85, reflecting a reduced caution among investors regarding short-term movements [2]. - The five-day average turnover rates for the SSE Composite Index and Wind All A were 0.82% and 1.40%, respectively, indicating increased trading activity [2]. Macroeconomic Factors - The onshore and offshore RMB exchange rates saw weekly increases of 0.15% and 0.25%, respectively [2]. - The official manufacturing PMI for China in May was reported at 49.5, matching expectations, while the Caixin manufacturing PMI was lower at 48.3 [2]. Technical Analysis - The Wind All A index broke through the SAR point on June 4, signaling a buy opportunity, with the moving average strength index scoring 207, placing it in the 81.6% percentile since 2021 [2][3]. Market Performance - For the week of June 2 to June 6, the SSE 50 index rose by 0.38%, the CSI 300 index increased by 0.88%, the CSI 500 index grew by 1.6%, and the ChiNext index surged by 2.32% [3]. - The overall market PE (TTM) stands at 19.2 times, which is in the 52.3% percentile since 2005 [3]. Factor Analysis - Small-cap factors performed well, with a crowding degree of 1.05, while low valuation factors had a crowding degree of 0.06 [3]. - The industry crowding degree is relatively high in machinery, comprehensive, retail, environmental protection, and beauty care sectors, with notable increases in beauty care and banking [3].