Quantitative Models and Factor Construction Quantitative Models and Their Construction - **Model Name**: CSI A500 Dividend Low Volatility Index **Model Construction Idea**: The model selects 50 stocks with high cash dividend yields and low volatility from the CSI A500 Index sample to reflect the overall performance of high-dividend and low-volatility securities[2][7][34] **Model Construction Process**: 1. **Sample Screening**: - Select stocks with an average cash dividend yield over the past three years ranked in the top 50%[37] - Filter stocks with a dividend payout ratio between 0 and 1 over the past three years[37] - Include stocks with consistent cash dividends over the past three years[37] 2. **Volatility Screening**: - Rank stocks by the standard deviation of daily returns over the past year in ascending order and select the top 50[37] 3. **Weighting**: - Apply dividend yield weighting with individual stock weights capped at 10% and sector weights capped at 30%[37] **Model Evaluation**: The model demonstrates strong performance in controlling volatility and maintaining stability, especially during high market fluctuations[44][46] Quantitative Factors and Their Construction - **Factor Name**: Dividend Yield **Factor Construction Idea**: Dividend yield is used to measure the relative valuation and dividend level of a stock, reflecting its profitability and cash flow stability[13] **Factor Construction Process**: - Formula: $ \text{Dividend Yield} = \frac{\text{Sum of Cash Dividends (Past 12 Months)}}{\text{Market Capitalization}} \times 100\% $ - Parameters: Cash dividends represent the total dividends distributed by the stock in the past 12 months; market capitalization is the total market value of the stock[27] **Factor Evaluation**: The factor provides a stable income source for investors and reflects the operational health of companies with high dividends[13][24] Backtesting Results of Models and Factors Model Backtesting Results - **CSI A500 Dividend Low Volatility Index**: - Annualized Return: 15.49% (2013.12.31–2025.08.25)[2][7][41] - Volatility: 1.21% (full period)[45] - Maximum Drawdown: 40.52% (full period)[46][47] Factor Backtesting Results - **Dividend Yield Factor**: - Risk Premium: 2.51% (as of 2025.08.25), with a historical high of 5.84% since 2008[24][25] - Dividend Yield: Weighted average of 4.82% for the top 10 constituents of the CSI A500 Dividend Low Volatility Index[57][58] Additional Insights - The CSI A500 Dividend Low Volatility Index demonstrates a balanced sector distribution, with the banking sector accounting for the largest weight (28.74%)[48][51] - The index constituents are primarily large-cap stocks, with 67% of the market weight concentrated in companies valued over 1 trillion RMB[55][56] - The index's valuation (PE TTM) is 10.39, slightly higher than other dividend indices, reflecting its mid-cap focus and growth potential[63][70]