Core Viewpoint - The article highlights the increasing popularity of Hong Kong dividend ETFs as a key investment strategy amid rising interest in dividend investments, with significant inflows and performance metrics indicating strong market interest [1][2][8]. Group 1: Performance of Hong Kong Dividend ETFs - As of June 11, the overall scale of dividend ETFs has increased by over 20 billion yuan this year, with several Hong Kong dividend ETFs achieving net growth exceeding 1 billion yuan [1][3]. - Notable performers include the Morgan Stanley S&P Hong Kong Low Volatility Dividend ETF, which saw a net increase of 5.071 billion yuan, and the Huaan Hang Seng Hong Kong Central State-Owned Enterprise Dividend ETF, which grew by 1.636 billion yuan [3][4]. Group 2: Advantages of Hong Kong Dividend Assets - Hong Kong dividend assets offer a dual characteristic of "bond-like yield + equity flexibility," making them an attractive option for investors seeking both defense and returns in a complex market environment [2][5]. - The dividend yield of the CSI Hong Kong Stock Connect High Dividend Investment Index stands at 7.95%, significantly higher than the 10-year government bond yield of 1.70%, providing a stable income source in a low-interest-rate environment [6]. - The valuation of the CSI Hong Kong Stock Connect High Dividend Investment Index is low, with a price-to-earnings ratio (TTM) of just over 6, making it a cost-effective investment opportunity compared to the Hang Seng Index and CSI Dividend Index [7]. Group 3: Market Dynamics and Future Outlook - The article notes that the Hong Kong dividend sector is experiencing a re-evaluation phase due to multiple favorable factors, including policy support, valuation advantages, and inflows from southbound capital [8][10]. - The resilience of the Hong Kong market is expected to continue, supported by improved asset supply structure and quality, as well as liquidity trends amid the return of overseas capital [9]. - The Hong Kong government has implemented several supportive policies aimed at enhancing market liquidity and attractiveness, which are expected to further focus attention on Hong Kong central state-owned enterprise dividends [10][11].

Quantitative Factors and Construction Factor Name: EP(TTM) (Earnings-to-Price Ratio) - **Construction Idea**: This factor represents the earnings-to-price ratio, used as a value factor to identify undervalued stocks[23] - **Construction Process**: - The factor is calculated as the ratio of earnings per share (EPS) to the stock price - Stocks are ranked based on their EP(TTM) values, and the top 20% are selected as the long portfolio, while the bottom 20% are selected as the short portfolio - Monthly rebalancing is performed on the first trading day of each month using the opening price[23] - **Evaluation**: The factor demonstrates strong historical performance, with significant excess returns and high Rank IC values, indicating its effectiveness in capturing value[23][26] - **Formula**: $ EP(TTM) = \frac{\text{Earnings Per Share (TTM)}}{\text{Stock Price}} $[23] Factor Name: BP(LF) (Book-to-Price Ratio) - **Construction Idea**: This factor represents the book-to-price ratio, another value factor used to identify undervalued stocks[23] - **Construction Process**: - The factor is calculated as the ratio of book value per share to the stock price - Stocks are ranked based on their BP(LF) values, and the top 20% are selected as the long portfolio, while the bottom 20% are selected as the short portfolio - Monthly rebalancing is performed on the first trading day of each month using the opening price[23] - **Evaluation**: The factor shows strong historical performance, with high excess returns and Rank IC values, indicating its robustness in identifying value opportunities[23][27] - **Formula**: $ BP(LF) = \frac{\text{Book Value Per Share}}{\text{Stock Price}} $[23] Factor Name: Dividend Yield (TTM) - **Construction Idea**: This factor represents the trailing twelve-month dividend yield, used as a dividend factor to identify high-yield stocks[23] - **Construction Process**: - The factor is calculated as the ratio of dividends per share (TTM) to the stock price - Stocks are ranked based on their dividend yield values, and the top 20% are selected as the long portfolio, while the bottom 20% are selected as the short portfolio - Monthly rebalancing is performed on the first trading day of each month using the opening price[23] - **Evaluation**: The factor has demonstrated consistent performance, with significant excess returns and Rank IC values, highlighting its effectiveness in capturing high-yield opportunities[23][28] - **Formula**: $ \text{Dividend Yield (TTM)} = \frac{\text{Dividends Per Share (TTM)}}{\text{Stock Price}} $[23] --- Factor Backtesting Results EP(TTM) Factor - **Rank IC**: 5.56%[26] - **Excess Return**: 9.14%[26] - **Sharpe Ratio**: 1.19[26] BP(LF) Factor - **Rank IC**: 6.80%[27] - **Excess Return**: 11.41%[27] - **Sharpe Ratio**: 1.37[27] Dividend Yield (TTM) Factor - **Rank IC**: 5.81%[28] - **Excess Return**: 8.96%[28] - **Sharpe Ratio**: 1.37[28]