广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 广发证券资深金工分析师 张钰东 SAC: S0260522070006 zhangyudong@gf.com.cn 广发金工安宁宁陈原文团队 摘要 最近5个交易日，科创50指数跌5.54%，创业板指跌6.15%，大盘价值跌1.73%，大盘成长跌4.25%，上证50跌3.90%，国证2000代表的小盘跌6.24%，银行、 传媒表现靠前，电力设备、综合表现靠后。 风险溢价，中证全指静态PE的倒数EP减去十年期国债收益率，权益与债券资产隐含收益率对比，截至2025/11/21指标2.98%，两倍标准差边界为4.73%。 估值水平，截至2025/11/21，中证全指PETTM分位数76%，上证50与沪深300分别为76%、71%，创业板指接近46%，中证500与中证1000分别为58%、 51%，创业板指风格估值相对历史总体处于中位数水平。 使用卷积神经网络对图表化的价量数据与未来价格进行建模，并将学习的特征映射到行业主题板块中。最新配置主题为能源、高股息等，具体包括中证能 源指数、中证智选高股息策略指数 ...

Group 1 - The core viewpoint of the news highlights the performance of the CSI High Dividend Strategy Index and its associated ETF, which has shown significant gains since its inception, outperforming traditional dividend indices [1][2] - As of May 23, 2025, the CSI High Dividend Strategy Index has increased by 0.26%, with notable individual stock performances including Yutong Bus up 1.55% and Jinjia Co. up 1.35% [1] - The high dividend ETF (159207) has risen by 0.29% since its launch on April 9, 2025, with a total increase of over 9% since inception, indicating strong investor interest [1][2] Group 2 - The CSI High Dividend Index employs an innovative "pre-announcement" strategy to calculate expected dividend yields based on the latest cash dividend announcements, allowing for more timely adjustments compared to traditional indices [1][2] - The recent regulatory changes, referred to as the "New Nine Policies," are enhancing dividend supervision, which is expected to increase the asset allocation value of high dividend and high-quality earnings [2] - The high dividend ETF (159207) has achieved a weekly profit percentage of 60.00% and a daily profit percentage of 69.23% since its establishment, making it an efficient choice for dividend asset allocation [2]

- The "CSI Smart High Dividend Strategy Index" was launched by the China Securities Index Company in 2024 to optimize traditional dividend stock selection logic through dynamic screening mechanisms and volatility control rules[2][32] - The index selects 50 stocks with continuous dividends and high expected dividend yields, using a "expected dividend yield" selection method combined with a dividend yield and volatility weighting mechanism to avoid the "high dividend trap" and ensure selected stocks have stable dividend capabilities and low volatility[2][32][39] - The index's construction process includes selecting stocks with continuous dividends over the past three years, calculating the expected dividend yield based on disclosed cash dividend plans, and weighting by the ratio of dividend yield to volatility[39][41] - The index has shown superior performance with higher annualized returns, lower volatility, and smaller maximum drawdowns compared to other dividend indices, demonstrating its value in long-term asset allocation[2][33][37] Model Performance Metrics - CSI Smart High Dividend Strategy Index, annualized return: 19.66%, annualized volatility: 24.60%, Sharpe ratio: 0.88, maximum drawdown: 64.82%[37] - Dividend Low Volatility 100 Total Return Index, annualized return: 17.87%, annualized volatility: 24.47%, Sharpe ratio: 0.81, maximum drawdown: 64.02%[15][37] - CSI Dividend Total Return Index, annualized return: 14.14%, annualized volatility: 25.86%, Sharpe ratio: 0.75, maximum drawdown: 72.13%[15][37] - CSI All Share Total Return Index, annualized return: 11.00%, annualized volatility: 26.29%, Sharpe ratio: 0.50, maximum drawdown: 71.48%[15] Factor Construction and Evaluation - The "expected dividend yield" factor is constructed by calculating the dividend yield based on disclosed cash dividend plans and adjusting for stock price at the end of April[39][41] - The factor is evaluated positively for its ability to avoid the "high dividend trap" and ensure selected stocks have stable dividend capabilities and low volatility[2][39] - The index's weighting method, which uses the ratio of dividend yield to volatility, effectively controls annualized volatility and enhances risk-adjusted returns[39][41] Factor Performance Metrics - CSI Smart High Dividend Strategy Index, dividend yield: consistently higher than other dividend indices during the period from September 30, 2024, to March 31, 2025[38] - The index's constituent stocks have a net asset return rate of approximately 10.5% and the lowest asset-liability ratio among compared dividend indices, indicating high profitability and low debt risk[54][56]