我们提出了三个解决方案来增强固收加策略中的权益部分： 固收+作底仓，低波实践的思考 20251215 摘要 传统固收加策略权益部分收益能力较弱，需增强。建议通过结合估值和 质量因子，先筛选 ROE>5%标的，再根据 PE 和 PB 排序选择低估标的， 构建稳健收益组合。 低波动量因子策略，通过过去 20 日涨跌幅和 180 日波动率倒数排序值 加总选择高分位数标的，提升几何收益率。权重分配采用排序法而非倒 数法，实现更稳定的权重分布，提高收益能力并减少回撤。 红利增强策略选择高红利、财务稳定、成长性不差的个券。通过质量因 子（ROE、净利润同比增长）和复合因子（净利润同比增长、经营性净 现金流比净利润等）筛选，并剔除高波动或弱动量标的，最终按年化波 动率加权。 红利增强策略自 2012 年以来表现出显著超额收益，年化回报近 21%， 最大回撤 40%，滚动 250 天正收益概率近 90%，优于市场常见的红利 低波全收益指数。 成长增强策略在保持成长性的同时降低波动。通过净利润要求为正来验 证成长性，并考虑中后端上涨周期。结合一致预期净利润增速、P1 变动 幅度、近三年净利润变异系数等因子筛选，并剔除波动性过高 ...

Core Insights - The performance of dividend stocks has been a major concern for investors, with the CSI Dividend Index rising only 6.81% year-to-date as of October 27, while the ChiNext Index surged over 51% in the same period [1] - Active management funds focusing on dividend stocks have achieved returns exceeding 20%, indicating potential opportunities in this sector despite overall market performance [1] Group 1: Fund Performance - The Guangfa Stable Strategy Fund, managed by Yang Dong, reported a year-to-date return of 24.70%, outperforming the CSI Dividend Index by over 17 percentage points [1] - Since Yang Dong took over on January 4, 2024, the fund has delivered a cumulative return of 55%, with an excess return of 31.14% compared to its benchmark [1] Group 2: Investment Strategy - The Guangfa Stable Strategy employs a "subjective + quantitative" dual strategy to enhance dividend investment, focusing on both active stock selection and quantitative screening [1][2] - Approximately half of the fund's positions are allocated to high-dividend assets in the Hong Kong stock market, which offers higher dividend yields [1] - The quantitative strategy includes various sub-strategies, such as selecting stocks based on fundamental factors and using AI models for yield enhancement [1] Group 3: Market Trends - In the first three quarters of the year, the Guangfa Stable Strategy's net value reached new highs, driven by a dual approach that rotates between A-shares and Hong Kong stocks [2] - The fund has adjusted its portfolio by increasing allocations to non-bank financials, non-ferrous metals, and basic chemicals while reducing exposure to banks, pharmaceuticals, and transportation sectors [2] Group 4: Future Outlook - As the market enters the fourth quarter, the demand for high-dividend assets is expected to rise, aligning with investors' asset allocation needs in a low-interest-rate environment [3] - The focus on future high-dividend stocks, such as those in non-bank financials, non-ferrous metals, and chemicals, represents an evolution of the dividend strategy to adapt to changing market conditions [3]