红利风格择时周报（0224-0227） [Table_Authors] 郑雅斌(分析师) 本报告导读： 上周（20260224 至 20260227）红利风格择时模型综合因子值为-0.10，在连续两周为 正值后转为轻微负向信号，前一周（20260209 至 20260213）因子值为 0.09。 投资要点： | | 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 低频选股因子周报（2026.02.13-2026.02.27） 2026.03.01 量化择时和拥挤度预警周报（20260227） 2026.02.28 红利风格择时周报（0209-0213） 2026.02.24 量化择时和拥挤度预警周报（20260220） 2026.02.22 高频选股因子周报（20260209-202602 ...

红利风格择时周报（0224-0227） [Table_Authors] 郑雅斌(分析师) 请务必阅读正文之后的免责条款部分 金 融 工 本报告导读： 上周（20260224 至 20260227）红利风格择时模型综合因子值为-0.10，在连续两周为 正值后转为轻微负向信号，前一周（20260209 至 20260213）因子值为 0.09。 投资要点： | | 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 低频选股因子周报（2026.02.13-2026.02.27） 2026.03.01 量化择时和拥挤度预警周报（20260227） 2026.02.28 红利风格择时周报（0209-0213） 2026.02.24 量化择时和拥挤度预警周报（20260220） 2026.02.22 高 ...

Investment Rating - The report indicates a positive investment rating for the dividend style timing model, with a composite factor value of 0.09, signaling a positive trend for two consecutive weeks [1][6]. Core Insights - The dividend style has shown good recent performance, with the momentum factor maintaining a positive contribution. The downward trend in U.S. Treasury yields continues to weaken, reducing pressure on dividends. Market sentiment has cooled, contributing positively to the dividend style. Multiple factors are at play, maintaining a positive score [4][7]. Summary by Sections Model Latest Results - The composite factor value for the dividend style timing model for the week of February 9 to February 13, 2026, is 0.09, consistent with the previous week [6][11]. Factor Analysis - The individual indicators are close to the previous week, with the following key factors: - Non-manufacturing PMI for China: -0.13 - M2 YoY for China: 0.21 - 10-Year U.S. Treasury Yield: -0.23 - Relative net value of dividends: 0.89 - Dividend yield of CSI Dividend Index minus 10-Year Treasury yield: 0.17 - Net financing purchases: -1.86 - Average industry prosperity: 1.02 - These factors collectively contribute to the positive score [12].

- The Dividend Style Timing Model's comprehensive factor value was 0.09 for the week of 20260209 to 20260213, maintaining a positive signal for two consecutive weeks[1][6] - The model's sub-indicators were similar to the previous week, with the momentum factor continuing to contribute positively and the downward trend in US Treasury rates weakening, reducing the pressure on dividends[7] - Market sentiment cooled, contributing positively to the dividend style, resulting in a maintained positive score due to multiple factors[7] Quantitative Models and Construction Methods 1. **Model Name**: Dividend Style Timing Model - **Model Construction Idea**: The model aims to time the dividend style by evaluating various factors that influence dividend performance[6] - **Model Construction Process**: The model aggregates multiple factors to generate a comprehensive factor value. These factors include momentum, US Treasury rates, market sentiment, and others. The comprehensive factor value is calculated as a weighted sum of these individual factors[6][7] - **Model Evaluation**: The model has shown consistent positive signals over the past two weeks, indicating its effectiveness in capturing the dividend style's performance[1][6] Model Backtesting Results 1. **Dividend Style Timing Model**: Comprehensive factor value of 0.09 for the week of 20260209 to 20260213, same as the previous week[1][6] Quantitative Factors and Construction Methods 1. **Factor Name**: Momentum Factor - **Factor Construction Idea**: Measures the recent performance trend of dividend stocks to predict future performance[7] - **Factor Construction Process**: The momentum factor is calculated based on the recent price movements of dividend stocks. The exact formula is not provided, but it typically involves calculating the rate of change or moving averages of stock prices[7] - **Factor Evaluation**: The momentum factor has maintained a positive contribution to the model, indicating its reliability in capturing performance trends[7] 2. **Factor Name**: US Treasury Rates - **Factor Construction Idea**: Evaluates the impact of US Treasury rates on dividend stocks[7] - **Factor Construction Process**: The factor is calculated based on the yield of 10-year US Treasury bonds. The exact formula is not provided, but it typically involves comparing the yield to historical averages or other benchmarks[7] - **Factor Evaluation**: The downward trend in US Treasury rates has weakened, reducing the pressure on dividend stocks and contributing positively to the model[7] 3. **Factor Name**: Market Sentiment - **Factor Construction Idea**: Assesses the overall market sentiment and its impact on dividend stocks[7] - **Factor Construction Process**: The factor is calculated based on various market sentiment indicators, such as investor surveys, trading volumes, and volatility indices. The exact formula is not provided[7] - **Factor Evaluation**: Market sentiment has cooled, contributing positively to the dividend style[7] Factor Backtesting Results 1. **Momentum Factor**: Positive contribution to the model[7] 2. **US Treasury Rates**: Reduced pressure on dividend stocks, contributing positively[7] 3. **Market Sentiment**: Positive contribution due to cooling market sentiment[7]

Investment Rating - The report indicates a positive shift in the dividend style timing model, with a composite factor value of 0.09, signaling a potential market style switch towards dividends [1][6]. Core Insights - The composite factor value increased from -0.08 in the previous week (January 26 to January 30, 2026) to 0.09, suggesting a recovery and a positive signal for dividend style investments [1][6]. - The momentum factor's contribution turned positive, and the downward trend in U.S. Treasury yields has significantly weakened, reducing pressure on dividend stocks [7]. - Market sentiment has cooled, contributing positively to the dividend style, with multiple factors working together to shift the score from negative to positive [7]. Summary by Sections Model Latest Results - The report updates the results of the dividend style timing model for the week of February 2 to February 6, 2026, showing a composite factor value of 0.09, which is a positive change from the previous week's -0.08 [6][7]. Factor Contributions - The report details various factors influencing the dividend style: - Non-manufacturing PMI for services in China: -0.13 - M2 YoY growth in China: 0.21 - U.S. 10-year Treasury yield: -0.24 - Relative net value of dividends: 0.92 - Dividend yield relative to 10-year government bond yield: 0.22 - Net financing purchases: -1.62 - Industry average prosperity: 0.77 [11].

红利风格择时周报（0202-0206） [Table_Authors] 郑雅斌(分析师) 本报告导读： 上周（20260202 至 20260206）红利风格择时模型综合因子值为 0.09，转为正值、发 出正向信号，相对前一周（20260126 至 20260130）的-0.08 继续回升。 证 券 研 究 报 告 请务必阅读正文之后的免责条款部分 金 融 工 投资要点： 金融工程 /[Table_Date] 2026.02.07 | | 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（260126-260130） 2026.02.04 大额买入与资金流向跟踪（20260126-20260130） 2026.02.03 风格 Smart beta 组合跟踪周报（20 ...

Investment Rating - The report indicates a cautious increase in investment rating for the dividend style, suggesting a potential style switch as the comprehensive factor value approaches the critical point [1][6]. Core Insights - The comprehensive factor value for the dividend style timing model was -0.08 for the week of January 26 to January 30, 2026, a significant recovery from -0.57 in the previous week, indicating a need to monitor potential style shifts [1][6]. - A substantial decrease in net financing contributed positively to the dividend, while the downward trend in U.S. Treasury yields has lessened its suppression on dividends. The momentum factor showed notable improvement, leading to better performance in dividends [1][7]. - Despite the positive contributions from market sentiment and the stock-bond valuation factor, the downward trend in U.S. Treasury yields and improvements in industry prosperity remain significant negative contributors, creating a counterbalance that brings the comprehensive factor value close to zero [1][7]. Summary by Sections - **Model Latest Results**: The comprehensive factor value for the dividend style timing model was updated to -0.08 for the week of January 26 to January 30, 2026, showing a notable recovery from the previous week's value of -0.57, indicating a potential style switch [1][6]. - **Factor Contributions**: The report highlights that net financing has decreased significantly, providing a positive contribution to dividends. The ongoing decline in U.S. Treasury yields has reduced its negative impact, while the momentum factor has improved, leading to better dividend performance [1][7].

Quantitative Models and Construction Methods - **Model Name**: Dividend Style Timing Model **Model Construction Idea**: The model is designed to time the dividend style by aggregating multiple factors that influence the performance of dividend-related assets. The comprehensive factor value is used to determine the timing signal for the dividend style[6] **Model Construction Process**: 1. The model aggregates multiple factors, including financing net purchases, U.S. Treasury yields, market sentiment, and recent dividend performance, among others[7] 2. The comprehensive factor value is calculated as a weighted sum of these individual factors, with weights determined based on historical data and their predictive power for dividend style performance[6][7] **Model Evaluation**: The model provides a systematic approach to assess the timing of the dividend style, but its effectiveness depends on the stability of the relationships between the factors and the dividend style performance[6][7] Model Backtesting Results - **Dividend Style Timing Model**: The comprehensive factor value for the week of January 19, 2026, to January 23, 2026, was -0.57, an improvement from the previous week's value of -0.77. However, the value remained below 0, indicating no positive signal for the dividend style[6][7] Quantitative Factors and Construction Methods - **Factor Name**: U.S. 10-Year Treasury Yield **Factor Construction Idea**: This factor measures the impact of U.S. Treasury yields on dividend style performance, as lower yields typically favor dividend-paying stocks[7] **Factor Construction Process**: The factor value is derived from the yield of the 10-year U.S. Treasury bond. A negative contribution indicates that the yield's trend is suppressing the dividend style[7] - **Factor Name**: Financing Net Purchases **Factor Construction Idea**: This factor captures the influence of financing activities on the dividend style, with higher net purchases indicating stronger support for the style[7] **Factor Construction Process**: The factor value is calculated based on the net amount of financing purchases. A positive value indicates a supportive environment for the dividend style[7] - **Factor Name**: Market Sentiment **Factor Construction Idea**: This factor reflects the overall market sentiment, with higher sentiment levels potentially leading to a shift away from defensive styles like dividends[7] **Factor Construction Process**: The factor value is derived from sentiment indicators, such as market volatility and investor surveys. A high sentiment value suggests a potential headwind for the dividend style[7] - **Factor Name**: Dividend Relative Net Value Performance **Factor Construction Idea**: This factor measures the recent performance of dividend-related assets relative to the broader market, indicating the style's momentum[7] **Factor Construction Process**: The factor value is calculated as the relative performance of dividend-related indices compared to the market index. A negative value indicates underperformance[7] Factor Backtesting Results - **U.S. 10-Year Treasury Yield**: Factor value on January 23, 2026: -0.56; January 16, 2026: -0.71; December 31, 2025: -0.84[10] - **Financing Net Purchases**: Factor value on January 23, 2026: 1.86; January 16, 2026: 3.00; December 31, 2025: 0.82[10] - **Market Sentiment**: Factor value on January 23, 2026: 0.78; January 16, 2026: 1.05; December 31, 2025: 1.54[10] - **Dividend Relative Net Value Performance**: Factor value on January 23, 2026: -1.46; January 16, 2026: -1.71; December 31, 2025: -0.69[10]

Quantitative Models and Construction Methods 1. **Model Name**: Dividend Style Timing Model **Model Construction Idea**: The model is designed to time the dividend style by aggregating multiple factors that influence the performance of dividend-related stocks. The comprehensive factor value is used to determine the timing signal for the dividend style[6]. **Model Construction Process**: - The model aggregates several sub-factors, including U.S. Treasury yields, the spread between dividend yield and Chinese bond yields, and industry sentiment indicators. - The comprehensive factor value is calculated as a weighted sum of these sub-factors. - The model outputs a signal based on whether the comprehensive factor value is greater than or less than zero. A positive value indicates a favorable timing signal, while a negative value suggests an unfavorable signal[6][7]. **Model Evaluation**: The model provides a systematic approach to timing the dividend style, but its effectiveness depends on the stability and predictive power of the underlying factors[6][7]. --- Model Backtesting Results 1. **Dividend Style Timing Model**: - Comprehensive factor value for the week of 2025.12.22 to 2025.12.26: -0.55 - Comprehensive factor value for the previous week (2025.12.15 to 2025.12.19): -0.72 - The model's comprehensive factor value showed improvement but remained below zero, indicating no positive timing signal[6][7]. --- Quantitative Factors and Construction Methods 1. **Factor Name**: U.S. 10-Year Treasury Yield **Factor Construction Idea**: This factor reflects the impact of U.S. Treasury yields on dividend style performance. A decline in yields is generally considered supportive of dividend stocks[7]. **Factor Construction Process**: The factor value is derived from the weekly change in the 10-year U.S. Treasury yield. A negative value indicates a decline in yields, which is expected to positively influence the dividend style[11]. 2. **Factor Name**: Spread Between Dividend Yield and 10-Year Chinese Bond Yield **Factor Construction Idea**: This factor measures the relative attractiveness of dividend yields compared to risk-free bond yields in China. A wider spread is considered favorable for dividend stocks[7]. **Factor Construction Process**: - The factor value is calculated as the difference between the dividend yield of the CSI Dividend Index and the 10-year Chinese bond yield. - A positive value indicates that dividend yields are higher than bond yields, which is supportive of the dividend style[11]. 3. **Factor Name**: Industry Sentiment Indicator **Factor Construction Idea**: This factor captures the overall sentiment in the industry, which can influence the performance of dividend stocks. Positive sentiment is expected to support the dividend style[7]. **Factor Construction Process**: The factor value is derived from analysts' assessments of industry conditions. A higher value indicates stronger sentiment, which is favorable for dividend stocks[11]. --- Factor Backtesting Results 1. **U.S. 10-Year Treasury Yield**: - Factor value on 2025.12.26: -0.91 - Factor value on 2025.12.19: -1.08 - Factor value on 2025.11.30: -1.32[11] 2. **Spread Between Dividend Yield and 10-Year Chinese Bond Yield**: - Factor value on 2025.12.26: 0.72 - Factor value on 2025.12.19: 0.32 - Factor value on 2025.11.30: -0.32[11] 3. **Industry Sentiment Indicator**: - Factor value on 2025.12.26: 1.65 - Factor value on 2025.12.19: 1.77 - Factor value on 2025.11.30: 1.97[11]

- The Dividend Style Timing Model's comprehensive factor value for the week of December 8, 2025, to December 12, 2025, is -0.72, which is a slight decline from the previous week's value of -0.65, and it remains below 0, indicating no positive signal[1][4][6] - The decline in the comprehensive factor value is mainly due to the significant drop in dividends last week, which resulted in a negative contribution from the momentum factor, and a slight recovery in market sentiment, which weakened the positive contribution to dividends[4][9] - The main negative contributions to the dividend score from the stock factors are the downward trend in US Treasury yields and the recovery in analyst industry sentiment, while other factors showed no significant changes[4][9] Quantitative Models and Construction Methods 1. **Model Name**: Dividend Style Timing Model - **Model Construction Idea**: The model aims to time the dividend style by evaluating various factors that influence dividend performance. - **Model Construction Process**: The model aggregates multiple factors to compute a comprehensive factor value. The factors include momentum, market sentiment, US Treasury yields, and analyst industry sentiment. The comprehensive factor value is calculated as a weighted sum of these individual factors. - **Model Evaluation**: The model's comprehensive factor value has shown a decline, indicating no positive signal for dividend style timing[1][4][6] Model Backtesting Results 1. **Dividend Style Timing Model**: Comprehensive factor value for the week of December 8, 2025, to December 12, 2025, is -0.72, compared to -0.65 for the previous week[1][4][6] Quantitative Factors and Construction Methods 1. **Factor Name**: Momentum Factor - **Factor Construction Idea**: The momentum factor measures the performance trend of dividends over a specific period. - **Factor Construction Process**: The momentum factor is calculated based on the rate of change in dividend performance over the past period. - **Factor Evaluation**: The momentum factor contributed negatively to the comprehensive factor value due to the significant drop in dividends last week[4][9] 2. **Factor Name**: Market Sentiment Factor - **Factor Construction Idea**: The market sentiment factor gauges the overall market mood and its impact on dividend performance. - **Factor Construction Process**: The market sentiment factor is derived from various market indicators that reflect investor sentiment. - **Factor Evaluation**: The market sentiment factor's positive contribution to dividends weakened slightly due to a slight recovery in market sentiment[4][9] 3. **Factor Name**: US Treasury Yields Factor - **Factor Construction Idea**: The US Treasury yields factor assesses the impact of US Treasury yields on dividend performance. - **Factor Construction Process**: The factor is calculated based on the trend in US Treasury yields, particularly the 10-year yield. - **Factor Evaluation**: The downward trend in US Treasury yields contributed negatively to the dividend score[4][9] 4. **Factor Name**: Analyst Industry Sentiment Factor - **Factor Construction Idea**: The analyst industry sentiment factor evaluates the sentiment of industry analysts and its effect on dividend performance. - **Factor Construction Process**: The factor is derived from the average sentiment scores of industry analysts. - **Factor Evaluation**: The recovery in analyst industry sentiment contributed negatively to the dividend score[4][9] Factor Backtesting Results 1. **Momentum Factor**: Contributed negatively to the comprehensive factor value due to the significant drop in dividends last week[4][9] 2. **Market Sentiment Factor**: Positive contribution to dividends weakened slightly due to a slight recovery in market sentiment[4][9] 3. **US Treasury Yields Factor**: Downward trend in US Treasury yields contributed negatively to the dividend score[4][9] 4. **Analyst Industry Sentiment Factor**: Recovery in analyst industry sentiment contributed negatively to the dividend score[4][9]