量化日报 | 近期择时模型波动加大 a Peter Land Time Time of Street States of the States of the States of the States of the States of the states of the states of the states of the state of the state of the s ■ 证券研究报告 固收定期报告 / 2026.03.05 核心观点 � 风险提示: 模型失效风险,因子失效风险,数据质量风险 孙彬彬 分析师 SAC 证书编号: S0160525020001 sunhh@ctsec.com [舊修고 分析师 SAC 证书编号: S0160525020003 suixp@ctsec.com 付耕阳 fuav@ctsec.com 相关报告 1. 《量化日报 | 债券又有调整信号》 2026-03-04 2. 《 量化 | 宽基指数择时怎么做？ 》 2026-03-03 3. 《２月机构行为,"钱多"体现在哪些方 2026-03-03 面? 》 请阅读最后一页的重要声明! 看多: 3 年 AAA 中短票、1 ...

量化 | 宽基指数择时怎么做? the research and the research and the many of the may be the may be the see of the may be the see of the s ■ 证券研究报告 固收专题报告 / 2026.03.03 核心观点 请阅读最后一页的重要声明! 孙彬彬 分析师 SAC 证书编号: S0160525020001 sunbh@ctsec.com 分析师 [舊修고 SAC 证书编号: S0160525020003 suixp@ctsec.com 付耕阳 H 3 A fugy@ctsec.com 相关报告 1. 《２月机构行为,"钱多"体现在哪些方 2026-03-03 面? 》 2. 《转债 | 美伊冲突,哪些转债值得关 注？ 》 2026-03-02 3. 《转债│3 月,转债波动中做结构》 2026-03-02 择时框架能否应用于股指?前期我们发布了海内外债券、商品的择时框 * 架,为更好覆盖大类资产及组合构建,我们搭建万得全 A、中证红利全收益、 恒生科技、科创 50、万得微盘、国证 2000 指数六大权益指数的择 ...

. 2017 11:20 ■ 证券研究报告 分析师 [舊修고 SAC 证书编号: S0160525020003 suixp@ctsec.com 付耕阳 fugy@ctsec.com 相关报告 1. 《量化 | 宽基指数择时怎么做? 》 2026-03-03 2. 《２月机构行为,"钱多"体现在哪些方 面？》 2026-03-03 3. 《转债 | 美伊冲突,哪些转债值得关 注? 》 2026-03-02 核心观点 看多:10年国债、2年国债、万得全 A 指数、中证红利全收益指数、 or 万得微盘指数、国证 2000 指数、COMEX 黄金、IPE 布油; � 风险提示:模型失效风险,因子失效风险,数据质量风险 请阅读最后一页的重要声明! 量化日报 | 债券又有调整信号 固收定期报告 / 2026.03.04 孙彬彬 分析师 SAC 证书编号: S0160525020001 sunbh@ctsec.com 调整: 恒生科技指数、科创 50 指数; in ❖ 震荡:30年国债、3YAAA中短票; & 30 年国债原始信号 82.73%,MA5 为 44.57%,模型观点为【震荡】;信号 持续 [ 5 ] 个交易日 ...

Core Viewpoint - The article emphasizes the importance of dividend strategies as a stable investment approach amidst market volatility, highlighting the "Dividend Three Heroes" as a framework for long-term investment planning [1]. Group 1: Dividend Strategy Overview - The "China Securities Dividend Quality ETF" focuses on high-quality companies with solid fundamentals, excluding banks, and aims for a balance between dividend yield and growth potential [3][5]. - The index prioritizes sectors such as pharmaceuticals, food and beverage, and non-ferrous metals, showcasing a "value growth" characteristic that has historically outperformed mainstream dividend indices [5][6]. Group 2: Performance Metrics - The "China Securities Dividend Quality Total Return Index" has shown a total return of 588.87% with an annualized return of 17.97% since its inception, indicating strong performance compared to other indices [6]. - The annualized volatility and maximum drawdown of the "China Securities Dividend Quality Total Return Index" are relatively controlled, suggesting a favorable risk-return profile [6][10]. Group 3: Comparison with Other Indices - The "China Securities Dividend Index" includes 100 stocks with high cash dividend yields and consistent dividend payments, outperforming benchmark indices for six consecutive years since 2020 [8][10]. - The "Hang Seng High Dividend Low Volatility Index" offers a higher dividend yield of 6.83% compared to the "China Securities Dividend Index" at 5.07%, indicating a potentially better value proposition in the current market [14][13]. Group 4: Investment Recommendations - The article suggests a diversified approach to dividend investing, combining core defensive positions with growth-oriented and low-volatility options to navigate market fluctuations effectively [19][18].

Core Viewpoint - The article discusses the shift in perception of dividend assets from a stable investment to a less appealing option in the context of a rising market driven by technology and AI, leading to feelings of dissatisfaction among investors holding these assets [2][4]. Group 1: Investment Motivation - Investors initially turned to dividend assets for their relative stability and income generation during market volatility, particularly around 2022 [4]. - The perception of dividend assets as a safe haven was reinforced by their performance during turbulent market conditions, contrasting with the fluctuations of other sectors [4]. Group 2: Performance Comparison - A comparison of the performance of the CSI Dividend All-Return Index against major indices over the past decade reveals periods of underperformance, including years where it declined significantly, such as a drop of over 15% in 2017 [5][6]. - The annual performance data shows that the CSI Dividend All-Return Index had a total return of 96.47% over ten years, while other indices like the CSI 300 All-Return Index and the ChiNext Index had returns of 56.49% and 26.92%, respectively [5]. Group 3: Investment Strategy - The essence of dividend investing lies in acquiring high-dividend stocks at reasonable prices and reinvesting dividends to enhance long-term returns, rather than expecting consistent outperformance [6][7]. - Understanding and accepting the underlying logic of dividend investment is crucial for investors to remain committed during market fluctuations, rather than being swayed by short-term comparisons [7].

Group 1: Report Summary - The report analyzes the settings of domestic and international stock-bond constant indices and their impacts on underlying assets and the asset management product ecosystem. Since 2024, China Securities Index Co., Ltd. has released a series of stock-bond constant indices, with 9 allocation strategies, 5 stock-bond ratio gradients, and a total of 39 stock-bond constant ratio indices [1][2][112]. - Stock indices in the stock-bond constant indices focus on 2 smart beta indices (dividend and cash flow) and the A500 index representing industry-balanced mid- and large-cap stocks. Bond indices correspond to a combination of medium- to high-grade credit and treasury and policy financial bond indices [1][2][112]. - From a 3-year perspective, stock-bond constant indices are in a low-drawdown, medium-elasticity range. The stock-bond ratio determines cost-effectiveness, the bond style determines the return bottom, and the equity index determines return elasticity. Historically, the 20:80 stock-bond constant index has a better risk-return ratio than many secondary bond funds [2][100][113]. Group 2: Background of Stock-Bond Constant Indices - In 1952, Harry M. Markowitz proposed the modern portfolio theory, providing a mathematical basis for asset allocation. Diversified asset allocation has become an important direction in wealth management, and multi-asset funds are key tools for implementing this strategy [15]. - The constant ratio strategy, especially the stock-bond constant ratio, is a common strategy in multi-asset index compilation. In the US market, the correlation between stocks and bonds varies with inflation and monetary policy. In the domestic market, stocks and bonds are mainly negatively correlated, and the correlation among stock indices has been decreasing [16][17][20]. Group 3: Basic Information and Risk-Return Characteristics of Stock-Bond Constant Indices 3.1 Basic Information of Stock-Bond Constant Series Indices - As of the end of November 2025, China Securities Index Co., Ltd. has released 100 multi-asset indices, covering strategies such as constant ratio, risk parity, volatility control, target date, and target risk [28]. - The newly released stock-bond constant series indices have 9 allocation strategies and 5 stock-bond ratio gradients, with a total of 39 indices. Stock indices focus on dividend and cash flow smart beta indices and the A500 index, while bond indices are a combination of medium- to high-grade credit and treasury and policy financial bond indices [32]. 3.2 Components and Industry Characteristics of Stock-Bond Constant Indices - The report focuses on the component stocks and sample adjustment of stock indices in stock-bond constant indices. For example, the CSI Dividend Index adjusts its samples once a year, and the CSI 800 Cash Flow Index adjusts quarterly [43][50]. - There are differences in the component stocks among the CSI Dividend Index, CSI 800 Cash Flow Index, and CSI A500 Index. The A500 Index emphasizes industry balance, while the Dividend Index is more concentrated in the financial and energy sectors [58]. 3.3 Return, Volatility, and Drawdown Performance of Stock-Bond Constant Indices - In the past 3 years, the CSI 800 Cash Flow Index has a higher annualized return, followed by dividend-related indices, and the A500 Index has the lowest return among the three. Among bond indices, medium- to high-grade credit bonds have a higher return-volatility ratio [61]. - In the past year, the performance of these indices has changed. The growth style represented by innovation has outperformed the dividend style, and the A500 Index has exceeded the CSI 800 Cash Flow and dividend-related indices in terms of return [74]. Group 4: Comparison between Stock-Bond Constant Indices and Active Fixed-Income Plus Products - Stock-bond constant indices have strong defensive capabilities. Based on the long-term weak negative correlation between stocks and bonds, the 10/90 and 20/80 stock-bond constant indices can reduce volatility and enhance portfolio defense [93]. - In the past three years, the overall return of stock-bond constant indices has been better than that of the WIND Secondary Bond Fund Equal-Weighted Index, and their volatility is lower. The 20:80 stock-bond constant index performs better than most secondary bond funds in the same maximum drawdown range [96][100]. - If stock-bond constant ETFs are launched, due to their low fees and high liquidity, some funds may switch from secondary bond funds to stock-bond constant ETFs, which may cause passive selling of secondary capital bonds and local structural frictions [106][108].

Core Viewpoint - The recent adjustments in insurance company risk factors are expected to encourage long-term allocations in quality equity assets, particularly in dividend stocks, as institutional investors increase their equity asset allocations amid a supportive policy framework [1][25]. Group 1: Market Trends and Fund Flows - The China Securities Dividend ETF (515080) saw a net subscription of 59.78 million yuan yesterday, with a cumulative net subscription of 125 million yuan over the past three days [1]. - The insurance sector is anticipated to allocate 30% of new premiums to A-shares annually, with December to the first quarter being a traditional allocation window for insurance funds [25]. Group 2: Policy Implications - The recent notification from the Financial Regulatory Bureau regarding the adjustment of risk factors for insurance companies aligns with the trend of increasing investment in dividend stocks by insurance firms [2][25]. - The policy focus is on capital market and consumption policies, with an emphasis on stimulating domestic demand and supporting emerging industries [25]. Group 3: Dividend Stock Analysis - Huatai Securities estimates that the industry is currently under-allocated in dividend stocks by approximately 0.8 to 1.6 trillion yuan, which may be addressed in the next two to three years [2]. - The average dividend yield of the newly included stocks in the index is 4.15%, compared to 3.89% for those being removed, indicating a trend towards higher-yielding stocks [20]. Group 4: Performance Metrics - The latest PE ratio for the China Securities Dividend Index is 8.48 times, with a historical percentile of 98.43% over the past five years [14]. - The China Securities Dividend Total Return Index has shown a 40-day return difference of 1.54% relative to the Wind All A Index as of December 5 [8].

- The report aims to enhance the original "Defensive and Offensive Dividend Strategy" by incorporating a rotation mechanism based on macroeconomic expectations, adjusting the weights of defensive and offensive scores during the second screening step[3][11][18] - The original strategy involves a two-step stock selection process: first, selecting the top 30% of stocks with high defensive scores from a high-dividend stock pool, and second, selecting the top 30 or 50 stocks based on offensive scores[18] - Defensive score is calculated as: $ 0.5 \times \text{3-year average dividend yield TTM} + 0.3 \times \text{480-day downside volatility} + 0.2 \times \text{3-year non-recurring ROE mean/standard deviation} $[75] - Offensive score is calculated as: $ 0.5 \times \text{forecast dividend yield} + 0.3 \times \text{relative momentum 240_20} + 0.2 \times \text{single-quarter non-recurring net profit year-on-year} $[75] - The enhanced strategy retains the first step of the original strategy and adjusts the weights of defensive and offensive scores based on macroeconomic expectations in the second step[11][74] - When macroeconomic expectations are revised upwards, the strategy selects the top 30 stocks based on offensive scores; when revised downwards, it selects the top 30 stocks based on a combination of 50% offensive and 50% defensive scores[74] - The enhanced strategy shows improved drawdown control, with the maximum drawdown reduced from 27.88% to 24.37% over the entire period from early 2016 to November 7, 2025[11][80][81] - The annualized return of the enhanced strategy is slightly improved, and the annualized volatility is slightly reduced compared to the original strategy[11][80][81] - The enhanced strategy's performance is evaluated by comparing annual returns, maximum drawdowns, and annualized volatility with the original strategy[80][81][82]

Core Viewpoint - The article emphasizes the importance of dividend strategies in investment, highlighting their ability to provide stable returns and lower volatility compared to other investment options, especially in the context of changing market sentiments over the past decade [1][2]. Summary by Sections Dividend Strategy Overview - The dividend strategy has shown a cumulative increase of 150.71% over the past decade, significantly outperforming the CSI 300 total return index (41.73%) and the Wind All A index (42.88%) [1]. - The dividend strategy is considered suitable for family asset allocation as a foundational asset [1]. Value Investment Principles - Value investing focuses on long-term cash flow returns, as defined by Graham in "Security Analysis," emphasizing the importance of cash flow over the type of asset [3]. - Buffett's distinction between investors and speculators highlights the focus on cash flow generation and the quality of business models [3]. Indicators of Dividend Stocks - High dividend yield indicates a company's ability to generate consistent cash flow and suggests a strong business model with good governance [4]. - Historical data shows that companies like Philip Morris have provided substantial returns through consistent cash flow and dividends, even during industry downturns [4]. Suitable Indices for Long-term Investment - Three indices suitable for long-term investment include the National Value 100 Total Return Index, National Free Cash Flow Total Return Index, and CSI Dividend Total Return Index, all showing lower volatility and higher returns [10][18]. - The National Free Cash Flow Total Return Index has the highest annualized return of 16.8% over the past decade, while the CSI Dividend Total Return Index has the lowest volatility at 17.6% [11][12]. Investment Strategies - A balanced approach to investing in the three indices can optimize returns and reduce volatility, with a proposed "index allocation combination" yielding a 262% return over the past decade [20][22]. - Investors can customize their allocations based on the characteristics of each index, using the CSI Dividend Index for defensive positions and the National Free Cash Flow Index for growth opportunities [23][24]. ETF Recommendations - Recommended ETFs include the Value ETF tracking the National Value 100 Index, the Free Cash Flow ETF tracking the National Free Cash Flow Index, and the Dividend ETF tracking the CSI Dividend Index, all designed to align with value investing principles [27].

Core Viewpoint - The China Securities Dividend ETF (515080) is set to distribute dividends for the third quarter, with a dividend of 0.15 yuan per ten shares, reflecting a distribution ratio of 0.95% [1][15]. Dividend Distribution - This marks the 14th dividend distribution since the ETF's inception, with a cumulative dividend amount of 3.65 yuan per ten shares [1][15]. - The annual dividend ratios for the past five years (2020-2024) were 4.53%, 4.14%, 4.19%, 4.78%, and 4.66% respectively [1][15]. Market Trends - Recent market conditions have seen a return of funds to high-dividend stocks, with the China Securities Dividend ETF experiencing a net subscription of 134 million yuan over four consecutive days [1]. - The 40-day return differential of the China Securities Dividend Index relative to the Wind All A Index was -12.25% as of September 12, indicating underperformance compared to the broader market [1][6]. Investment Insights - Long-term investment strategies are being bolstered by policies encouraging insurance companies to increase their equity holdings, potentially adding several hundred billion yuan to the A-share market annually [2][17]. - The current dividend yield of the China Securities Dividend Index is 4.86%, significantly higher than the 10-year government bond yield of 1.87%, enhancing the attractiveness of dividend-paying assets [9][12]. Performance Metrics - The latest price-to-earnings (PE) ratio for the China Securities Dividend Index is 8.18, with historical percentiles indicating a high valuation relative to the past five and ten years [12][19]. - The China Securities Dividend Index has shown varied performance over the last five years, with annual returns of 3.49% (2020), 13.37% (2021), -5.45% (2022), 0.89% (2023), and 12.31% (2024) [19].