红利风格择时周报（1208-1212） [Table_Authors] 郑雅斌(分析师) 本报告导读： 本周（20251208 至 20251212）红利风格择时模型综合因子值为-0.72，相对于上周 （20251201 至 20251205）的-0.65 略有下滑，仍保持小于 0，未发出正向信号。 投资要点： 金融工程 /[Table_Date] 2025.12.13 | | 021-23219395 | | --- | --- | | | zhengyabin@gtht.com | | 登记编号 | S0880525040105 | | | 梁誉耀(分析师) | | | 021-38038665 | | | liangyuyao@gtht.com | | 登记编号 | S0880524080003 | [Table_Report] 相关报告 绝对收益产品及策略周报（251201-251205） 2025.12.10 上周估值因子表现较好，本年中证 2000 指数增强 策略超额收益为 28.22% 2025.12.10 红利风格择时周报（1201-1205） 2025.12.08 风格 Smart beta ...

- The dividend timing model's comprehensive factor value for the week of November 10-14, 2025, is -0.88, showing an improvement compared to the previous week's value of -1.06, but still below 0, indicating no positive signal[6][4] - The dividend timing model includes sub-factors such as market sentiment trend factor and dividend momentum factor. This week, the market sentiment trend factor decreased, while the dividend momentum factor increased, both contributing positively to the dividend style. However, the downward trend in U.S. Treasury yields and the recovery in analyst industry sentiment continue to negatively impact the dividend scoring, with the negative contribution from U.S. Treasury yields slightly reduced[7][4] - Factor values for specific indicators as of November 14, 2025, include: - Non-manufacturing PMI (China): -0.12 (unchanged from previous weeks)[11] - M2 YoY (China): 0.83 (unchanged from previous weeks)[11] - 10-year U.S. Treasury yield: -1.51 (slightly improved from -1.55 last week)[11] - Dividend relative net value: 0.17 (improved from -0.37 last week)[11] - Dividend yield relative to 10-year Chinese bond yield: -0.40 (declined from -0.33 last week)[11] - Net financing purchases: -0.25 (declined from 0.85 last week)[11] - Industry average sentiment: 2.14 (slightly declined from 2.23 last week)[11]

Core Insights - The comprehensive factor value of the dividend style timing model for the week of October 27 to October 31, 2025, is -0.78, which is a decline from -0.63 in the previous week (October 20 to October 24, 2025), indicating that it remains below zero and has not generated a positive signal [1][6][7]. Model Results - The latest results show that the decline in U.S. Treasury yields and the recovery in analyst industry sentiment have contributed negatively to the dividend scoring. Additionally, the market sentiment has improved this week, but the positive contribution from the net financing factor to dividends has decreased [6][7]. Factor Analysis - The individual factor values as of October 31, 2025, include: - Non-manufacturing PMI for China: -0.12 - M2 YoY for China: 0.83 - U.S. 10-year Treasury yield: -1.40 - Relative net value of dividends: -0.27 - Dividend yield of the CSI dividend index minus 10-year government bond yield: -0.15 - Net financing: -1.32 - Average industry sentiment: 2.40 [12].

Core Viewpoint - The article discusses the characteristics and investment appeal of dividend stocks, emphasizing their defensive nature and stable income, which makes them attractive to long-term investors seeking steady returns [1]. Summary by Relevant Sections Dividend Stocks and Bonds - There exists a substitutive relationship between dividend stocks and bonds, with a constructed factor comparing dividend yield and the 10-year Chinese government bond yield showing a positive timing effect for dividend style [3]. - Post-2016, there has been a high correlation between U.S. Treasury yields and dividend style, indicating that rising interest rates suppress high-valuation growth stocks, leading to a shift towards undervalued dividend stocks [3]. Factor Weighting and Performance - The 10-year U.S. Treasury yield is assigned a weight of 40% in the factor model, while other factors are weighted at 10% each. The weekly comprehensive factor timing strategy outperforms the CSI All Share Index by an annualized excess of 10% and the CSI Dividend Index by approximately 4%, with a win rate above 55% for both positive and negative signals [4]. - The strategy demonstrates good avoidance capability during periods of relative weakness for dividend style (2019-2020) [4]. Economic and Market Conditions - Dividend style tends to outperform in environments of credit downgrades or low credit conditions, as funds may shift towards stocks with stable dividend income when corporate loan demand is low [9]. - During economic contractions, dividend stocks are favored due to their defensive and bond-like attributes, as the market tends to gravitate towards them in weak economic conditions [9]. - In periods of low overall industry sentiment, dividend style also tends to dominate, with a constructed industry average sentiment factor showing good reverse timing effects [9]. - Market sentiment at low levels often corresponds with a relative advantage for dividend style, as net financing purchases show a significant negative correlation with dividend style [9]. - Dividend style frequently appears during bear markets, with the CSI 2000 Index showing a negative correlation with dividend style, although its timing effect is generally limited due to a lack of momentum [9]. - Constructing a trend factor based on relative net value of dividends can also yield certain timing effects [9].