2025 年 08 月 20 日 红利资产仍具配置价值 ——摩根红利优选基金投资价值分析 相关研究 证券分析师 杨俊文 A0230522070001 yangjw@swsresearch.com 沈思逸 A0230521070001 shensy@swsresearch.com 研究支持 杨俊文 A0230522070001 yangjw@swsresearch.com 联系人 杨俊文 (8621)23297818× yangjw@swsresearch.com 请务必仔细阅读正文之后的各项信息披露与声明 权 益 量 化 研 究 证 券 研 究 报 告 本研究报告仅通过邮件提供给 中庚基金 使用。1 股 票 基 金 - ⚫ 中证红利（000922.CSI）由沪深两市中现金股息率高、分红稳定且规模与流动性较好的 100 只股票构成，以反映 A 股市场高股息投资标的的整体表现，是红利策略的重要代表 性指数之一。 ⚫ 中长期业绩表现上，中证红利的夏普比率显著高于其他宽基指数。在整个回溯区间，中 证红利全收益指数的年化收益率为 8.34%，夏普比率为 0.41，显著高于 300 收益、500 收益、创业板 R 指数； ...

Group 1: Report Industry Investment Rating - Not available in the provided content Group 2: Core Views of the Report - The high - dividend strategy's returns come from capital gains and dividend income, investing in mature - stage companies. It forms a positive cycle of "stable profits - continuous dividends - increased ROE", supporting its high win - rate [8]. - Market mainstream high - dividend indices include pure dividend indices, broad - based dividend enhancements, and Smart Beta dividend strategies, with significant differences in weighting methods, sampling constraints, number of components, and industry distributions [8]. - There are three key cognitive biases about the high - dividend strategy: it can outperform the market in various market conditions, not just in bear markets; interest rate movements have no significant overall impact; and the "ex - rights filling" market is not significant [8]. - The allocation of high - dividend assets should follow the principles of "long - termism, considering quality factors, avoiding crowded chips, and valuing expected dividends" [8]. - "Cash - cow" enterprises have abundant and stable cash flows, and their essence is related to business models, including resource allocation and profit - driving models [8]. - Different asset and liability structures form four cash - cow paradigms, and investing in cash - cow assets should combine business model paradigms and industrial cycles [8]. Group 3: Summaries According to the Table of Contents High - Dividend Strategy's Income Source and Nature - The high - dividend strategy's income comes from capital gains (due to stock price changes and value - restoration) and dividend income. Its essence is to invest in mature companies with limited investment returns, low revenue and net - profit growth, but strong profitability, high ROE, and good cash - flow protection [8][22][26]. - From 2014 to July 2025, the annualized returns of four typical dividend indices (CSI Dividend, Dividend Low - Volatility, 300 Dividend, and Dividend Value) reached 13.22%, 13.86%, 13.84%, and 15.72% respectively, with dividends contributing 71%, 68%, 71%, and 58% to these returns [30]. - High - dividend companies in the mature stage tend to pay dividends due to limited investment returns. Dividends are an important way to increase ROE, and high - dividend companies generally have strong cash - flow protection capabilities [33][37]. High - Dividend Strategy's Available Investment Tools - Mainstream high - dividend strategy indices include pure dividend indices, broad - based dividend enhancements, and Smart Beta dividend strategies. The products linked to the Dividend Low - Volatility and CSI Dividend indices have the largest scale [48]. - These indices differ in weighting methods (dividend - rate weighted, volatility weighted, comprehensive - score weighted, free - float market - value weighted), sampling methods (most require three - year continuous dividends and have dividend - payout ratio constraints), number of components (mostly 50 or 100), and other constraints (such as company attributes, ROE fluctuations) [58][61]. - In terms of industry distribution, CSI Dividend and Dividend Low - Volatility are relatively concentrated. The CSI Dividend Index has a bank weight of over 25%, and the Dividend Low - Volatility Index has a bank weight of up to 50% [64]. - Year - to - date, dividend indices have generally underperformed the Wind All - A Index. In the past 10 years, Smart Beta dividend strategies have been relatively dominant. High - dividend indices generally have a lower turnover rate relative to the All - A Index [67][81]. Three Cognitive Gaps in the High - Dividend Strategy - The high - dividend strategy is not just a "bear - market haven". It can outperform the market in bull markets, volatile markets, and during bull - bear transitions, such as in the 2006 - 2007 bull market, the 2008 and 2022 bear markets, and the 2015 - 2018 bull - bear transition [8][98]. - Interest rate movements have little impact on the high - dividend strategy. In the interest - rate up - cycle, inflation supports pro - cyclical assets; in the down - cycle, the dividend - income advantage is magnified, and absolute - return funds flow in [141]. - The "ex - rights filling" market is not significant. The probability of positive returns after ex - rights and ex - dividends is often less than 50% in the short - term, and the "ex - rights filling" market usually occurs after 180 trading days [151]. Allocation of High - Dividend Assets - The allocation of high - dividend assets should follow the principles of long - termism, considering quality factors, avoiding crowded chips, and valuing expected dividends. Long - term holding works well in a balanced market. Strategies can include selecting indices, constructing "high - dividend + low - turnover" portfolios, and focusing on expected dividend rates [8][178]. - Operationally, the best way to invest in dividend assets is Buy & Hold. Different investment methods for bank stocks (fixed - point buying, continuous定投, and inverted - triangle adding) have different returns, and the combination of dividend and micro - cap stocks in certain weights can achieve a better risk - return ratio [184]. From "High - Dividend" to "Cash - Cow" - "Cash - cow" enterprises have abundant and stable cash flows, and understanding their essence requires considering business models, including resource allocation (reflected in the balance sheet) and profit - driving models (reflected in the income statement) [8]. Cash - Cow Paradigms in Heavy - Asset and Light - Asset Industries - Four cash - cow paradigms are formed by different asset and liability structures: heavy - asset high - liability industries rely on asset scale and quality; heavy - asset low - liability industries rely on cost control; light - asset brand + channel - driven industries rely on brand premium and channel efficiency; light - asset product + channel - driven industries rely on product and channel efficiency [8]. How to Invest in Cash - Cow Assets - Investing in cash - cow assets should combine business model paradigms and industrial cycles. The best time to invest is when the industrial cycle shifts from the growth stage to the exit stage, and high - quality companies within the paradigms should be selected [8].

Group 1 - The Hong Kong Stock Connect companies with high dividend levels and low volatility have shown overall strong performance, with the financial, industrial, and energy sectors accounting for nearly 70% of the index [4] - The dividend value ETF tracks the CSI Dividend Value Index, which consists of 50 stocks with high dividend yields and value characteristics, reflecting the overall performance of such stocks, with banking, coal, and transportation sectors making up about 80% [5] - As of the midday close, the CSI Dividend Value Index has a rolling P/E ratio of 7.7 times, indicating a stable valuation for companies within this index [5] Group 2 - The CSI Dividend Index was launched on May 26, 2008, and was adjusted from a market capitalization-weighted index to a more refined methodology on December 16, 2013 [5] - The index's dividend yield is calculated as the sum of the last 12 months' cash dividends (pre-tax) divided by the market value of the stocks, providing a clear measure of income generation [5] - The fund management fee is set at 0.15% per year, with a custody fee of 0.05% per year, indicating a low-cost investment option for investors [6]

Core Viewpoint - The article discusses the performance of various stock indices, particularly focusing on dividend indices and their investment strategies, highlighting the importance of valuation and market conditions in investment decisions. Group 1: Market Performance - The overall market opened lower but rebounded slightly by the close, with the CSI All Share Index showing a minor decline, maintaining a rating of 4.6 stars [1] - Large-cap stocks experienced slight gains, while small-cap stocks saw minor declines [2] - Dividend and value styles showed slight increases, whereas growth styles like the ChiNext Index experienced minor declines [3][4] Group 2: Dividend Indices - The article emphasizes that dividend indices are strategy-based indices that select stocks according to specific criteria [11] - Historical examples illustrate how certain sectors, like banking and real estate, have been included in dividend indices based on their high dividend yields during specific market conditions [13][16] - The mechanism of indices allows for a natural turnover, removing stocks that no longer meet the criteria, as seen in past market cycles [21][23] Group 3: Investment Strategies - Investors are encouraged to consider undervalued investments in dividend indices, as these tend to have lower volatility compared to the overall market, approximately 70% of the market's volatility [25] - Investing during undervalued periods can enhance future cash flow returns and reduce downside risk, making dividend indices suitable for such strategies [30][32] - The article provides a valuation table for various dividend indices, including metrics like earnings yield, P/E ratio, and dividend yield, to assist investors in making informed decisions [34] Group 4: Fund Performance - A summary of various funds tracking dividend indices is provided, detailing their performance metrics such as average annual dividends and tracking indices [36] - The article mentions the availability of updated valuation data for dividend indices through a mini-program, allowing investors to access real-time information [37] Group 5: Upcoming Events - A live session is scheduled to discuss the characteristics of the Free Cash Flow Index and its relationship with dividend and value indices, indicating ongoing educational efforts for investors [38]

Group 1 - The core indices related to dividend-paying stocks showed positive performance, with the CSI Dividend Low Volatility Index rising by 0.9%, the CSI Dividend Value Index and CSI Dividend Index both increasing by 0.7%, and the Hang Seng High Dividend Low Volatility Index up by 0.5% as of midday close [1][5][7] - The Hang Seng Dividend Low Volatility ETF (159545) experienced a net subscription of 12 million units during the half-day trading session, indicating strong investor interest in related products [1][6] - The composition of the indices reflects a high level of dividend payments and low volatility among A-share listed companies, with the banking, transportation, and construction industries accounting for approximately 70% of the index [5][7] Group 2 - The Hang Seng Dividend Low Volatility Index consists of 50 stocks within the Hong Kong Stock Connect that are characterized by good liquidity, continuous dividend payments, moderate dividend payout ratios, and low volatility, with financial, industrial, and energy sectors making up nearly 70% of the index [7] - The CSI Dividend Value Index tracks 50 stocks that exhibit high dividend yields and value characteristics, contributing to the overall performance of dividend-paying stocks [9]

Core Viewpoint - The article emphasizes the importance of dividend strategies in investment, highlighting their ability to provide stable returns through dual sources of income: dividend income and capital appreciation [2][11][48]. Group 1: Nature of Dividend Funds - Dividend funds are fundamentally equity assets, not fixed-income products, despite their high dividend yields [5][11]. - Investors often misinterpret dividend funds as low-risk investments, overlooking their inherent market volatility [8][9]. - The resilience of dividend funds is demonstrated by their performance during market downturns, where they have shown a tendency to recover faster than broader indices [13][14]. Group 2: Understanding Dividend Distribution - Dividend distribution is not a zero-sum game; it reflects a company's financial health and commitment to shareholder returns [18][20]. - Companies that consistently pay dividends are typically in a mature phase with stable cash flows, indicating strong operational performance [19][21]. - The reinvestment of dividends can lead to significant compounding effects over time, enhancing overall returns [21][22]. Group 3: Types of Dividend Indices - There are three main types of dividend indices: traditional dividend strategies focusing on high dividend yields, enhanced dividend strategies incorporating additional factors, and Hong Kong stock dividend strategies benefiting from unique market conditions [30][34][36]. - Enhanced dividend strategies have shown higher excess returns compared to pure high-dividend strategies, albeit with increased volatility [36]. - The concentration of dividend indices in the banking sector necessitates careful consideration for investors concerned about potential market fluctuations [36]. Group 4: Dynamic Nature of Dividend Strategies - Dividend indices are dynamically updated, ensuring that they maintain a relatively high dividend yield by replacing underperforming stocks with new candidates [40][41]. - The relationship between stock price and dividend yield is complex, with market dynamics influencing both [42][43]. - The article concludes that understanding the nuances of dividend strategies can help investors make informed decisions and achieve stable cash flows over the long term [48].

Market Overview - The market has shown strong performance recently, with fluctuations in the index where it opened lower but closed higher, maintaining a rating of 4.7 stars [1] - Both large-cap and small-cap stocks have experienced upward movement, with large-cap stocks showing slightly more gains [2][3] Sector Performance - Value styles, particularly dividend stocks, have seen significant increases, despite a recent downturn in the banking sector. The CSI Dividend Index has returned to normal valuation levels [3] - Consumer and pharmaceutical sectors have also risen, with the liquor index showing notable gains, although it remains down approximately 7% year-to-date due to previous declines [4] Investment Strategies - The market is gradually trending upwards due to valuation increases and fundamental recovery, although this process will not be linear and may include corrections of 10-20% [6] - The company offers various investment advisory combinations that have reached new highs, indicating strong performance [6] Personal Pension Investment - The company has initiated a personal pension investment strategy, focusing on index funds, with a combination of A500 and dividend strategies showing profitability in recent months, around 6-7% [21] - The investment approach emphasizes a "periodic but irregular" strategy, where more is invested when valuations are lower [15] Valuation Insights - Recent valuations for various indices indicate that both A500 and CSI Dividend have returned to normal valuation levels, prompting a pause in further investments until lower valuations are observed again [21] - The company has provided a detailed valuation table for personal pension index funds, highlighting key metrics such as P/E ratios and dividend yields [25][26]

Core Viewpoint - The article discusses the long-term investment potential in hydropower, particularly through companies like China Yangtze Power, which can benefit from stable cash flows over 50 years from hydropower assets [1][2]. Group 1: Investment Opportunities - Hydropower operators can hold assets indefinitely, enjoying stable revenues, unlike construction companies that exit after project completion [1]. - For example, if China Yangtze Power increases its total installed capacity by 40% from 71.7 million kW to 100 million kW, it could generate an annual revenue of 90 billion yuan, leading to a net profit increase of 18 billion yuan per year [1]. - The additional cash flow could support a long-term dividend yield of over 4%, ensuring that even with stock price fluctuations, the absolute dividend amount continues to grow [1]. Group 2: Index and Sector Analysis - The China Securities Dividend Index includes sectors such as public utilities, transportation, steel, and coal, which together account for nearly 40% of the index, providing diversified exposure to the hydropower project benefits [2]. - The index serves as a more stable long-term investment vehicle compared to construction companies, as it mitigates performance volatility risks associated with construction projects [3][4]. - The China Securities Dividend ETF (515080) is designed for long-term holding, focusing on companies with stable demand and strong cash flows, outperforming traditional bank savings [4]. Group 3: Dividend Strategy - The China Securities Dividend Index undergoes semi-annual reviews to remove companies with reduced dividends and introduce new cash-generating firms, ensuring a focus on the most profitable and generous companies [5].

Summary of Key Points from the Conference Call Industry Overview - The focus is on the **dividend stock** sector, which is gaining traction as a stable investment choice for conservative funds like insurance and pension funds, especially during economic uncertainty [1][2]. Core Insights and Arguments - **High Dividend Yield**: Dividend stocks are characterized by high dividend yields and stable returns, making them attractive in low-interest-rate environments. They are seen as a substitute for fixed-income assets [1][2]. - **Performance in Low-Interest Environments**: Since 2021, dividend stocks have outperformed the broader market index, showcasing robust return characteristics. In low-interest environments, both dividend and growth styles perform better than in high-interest conditions [2][4]. - **Inflation Impact**: In a scenario of "appropriate high inflation + future increase," dividend strategies have shown strong performance in most overseas markets, with exceptions like the U.S. tech sector driven by AI advancements [1][5]. - **Domestic Market Comparison**: The domestic dividend stocks exhibit bond-like characteristics. The comparison between the CSI Dividend Index and the 10-year government bond yield helps assess the cost-effectiveness of allocations. When the index yield exceeds that of government bonds, the allocation value is highlighted [6]. Additional Important Content - **Crowding Indicator System**: A comprehensive system evaluates sector risks through five dimensions: yield, trading volume, trading structure, valuation, and sentiment. This innovative approach includes trading structure and sentiment indicators to better understand market risks and opportunities [1][7]. - **Stock Selection Strategy**: The dividend stock selection strategy focuses on stocks with two consecutive years of dividends and high dividend yields, while also assessing the sustainability of future high dividends [3][14]. - **Market Sentiment Analysis**: The sentiment score derived from news articles can indicate market optimism or pessimism, serving as a warning signal for investors when it exceeds certain thresholds [12]. - **Event Effects of Dividends**: The timing of annual and interim dividends significantly impacts stock performance. Key dates for announcements and ex-dividend dates are crucial for investment decisions, as high dividend stocks may experience excess returns post-announcement but could face corrections afterward [16]. Conclusion - The dividend stock sector is positioned as a defensive investment strategy in uncertain economic times, with various analytical frameworks and strategies in place to optimize returns and manage risks effectively.

Core Viewpoint - The A-share market continues to see significant dividend distributions, with a total of 740 billion yuan distributed among nine constituent stocks of the CSI Dividend Index this week, driven by supportive policies for high-dividend assets [1][23]. Group 1: Dividend Distribution - The total dividend distribution for the CSI Dividend Index in 2024 reached a record high of 9,237 million yuan, with a payout ratio exceeding 36% [21][22]. - Major contributors to this week's dividends include Agricultural Bank with 439 million yuan, Shanghai Pudong Development Bank with 124 million yuan, and China State Construction Engineering with 112 million yuan [23][24]. Group 2: Policy Impact on Insurance Capital - A recent notification from authorities aims to guide insurance funds towards long-term stable investments by extending the performance evaluation period to five years, which is expected to release more capital into the market [8][21]. - According to Guosen Securities, this policy change could resolve the mismatch between the nature of insurance funds and performance evaluations, potentially increasing the scale of funds entering the market [8][21]. Group 3: Asset Allocation Insights - As of Q1 2025, the total balance of insurance capital utilization was 34.93 trillion yuan, with 2.8 trillion yuan allocated to stocks, representing 8.4% of the total [2][8]. - If insurance funds increase their stock allocation by 1%, it could correspond to an additional 350 billion yuan entering the market, with a focus on high-quality dividend assets [2][8]. Group 4: Market Performance Metrics - The CSI Dividend Index has a current dividend yield of 5.37%, significantly higher than the 10-year government bond yield of 1.67%, highlighting the attractiveness of high-dividend investments [9][10]. - The performance of the CSI Dividend Index over the past decade shows a total return of 91.33% [5].