丨证券研究报告丨 金融工程丨专题报告 [Table_Title] 质量风格占优，攻守兼备红利组合持续跑出 超额 [Table_Summary] 本周 A 股市场整体回暖，科创板块表现强势，红利资产也实现正收益；红利内细分板块来看， 红利增长和红利质量相对纯粹红利资产存在超额收益。从市场表现来看，本周 A 股内各板块均 实现正收益，但收益分化较大，TMT 板块持续领涨，而医疗板块涨幅较小；聚焦电子板块内部， 半导体赛道表现活跃，集成电路设计周度涨幅大幅领先电子其他子赛道。策略表现上，本周红 利增强组合均跑赢中证红利全收益，而电子增强组合受周五半导体快速拉升行情影响，均未能 跑赢电子行业指数。 分析师及联系人 [Table_Author] 冷旭晟 蔡文捷 覃川桃 SAC：S0490524080001 SAC：S0490523120001 SAC：S0490513030001 SFC：BUT353 请阅读最后评级说明和重要声明 %% %% %% %% 报告要点 [Table_Title 质量风格占优，攻守兼备红利组合持续跑出超 2] 额 [Table_Summary2] 自 2023 年 7 月以来，长江金工团队先 ...

- The report introduces several active quantitative strategies launched by the Changjiang Quantitative Team since July 2023, including the Dividend Selection Strategy and the Industry High Winning Rate Strategy[6][13] - The "Dividend Quality" segment showed relatively active performance with a weekly average return of approximately 1.64%, indicating excess returns compared to pure dividend assets[6][16] - The "Central State-Owned Enterprises High Dividend 30 Portfolio" and the "Balanced Dividend 50 Portfolio" both outperformed the CSI Dividend Total Return Index this week, with excess returns of approximately 0.61% and 1.51%, respectively[6][22] - The "Balanced Dividend 50 Portfolio" achieved positive returns this week[6][22] - The "Electronic Balanced Allocation Enhanced Portfolio" and the "Electronic Sector Preferred Enhanced Portfolio" both achieved positive returns this week, although they did not outperform the electronic industry index[7][31] - The "Electronic Sector Preferred Enhanced Portfolio" had a weekly return of approximately 6.20%, outperforming the median of technology-themed fund products[7][31] Quantitative Models and Construction Methods 1. Model Name: Dividend Selection Strategy; Model Construction Idea: Focuses on selecting stocks with high dividend yields and quality; Model Construction Process: The strategy involves screening stocks based on dividend yield, payout ratio, and other fundamental factors to construct a portfolio that aims to provide stable and high returns; Model Evaluation: The strategy has shown to provide excess returns compared to pure dividend assets[6][13][16] 2. Model Name: Industry High Winning Rate Strategy; Model Construction Idea: Focuses on selecting stocks within high-performing industries; Model Construction Process: The strategy involves identifying industries with strong performance and selecting stocks within those industries based on various fundamental and technical factors; Model Evaluation: The strategy aims to provide alternative perspectives and investment choices for investors by tracking market hotspots and selecting individual stocks within high-performing industries[6][13] Model Backtesting Results 1. Dividend Selection Strategy, Excess Return: 1.64%[6][16] 2. Central State-Owned Enterprises High Dividend 30 Portfolio, Excess Return: 0.61%[6][22] 3. Balanced Dividend 50 Portfolio, Excess Return: 1.51%[6][22] 4. Electronic Sector Preferred Enhanced Portfolio, Weekly Return: 6.20%[7][31] Quantitative Factors and Construction Methods 1. Factor Name: Dividend Quality; Factor Construction Idea: Focuses on stocks with high dividend quality; Factor Construction Process: The factor involves screening stocks based on dividend yield, payout ratio, and other fundamental factors to identify stocks with high dividend quality; Factor Evaluation: The factor has shown to provide excess returns compared to pure dividend assets[6][16] 2. Factor Name: Industry Performance; Factor Construction Idea: Focuses on stocks within high-performing industries; Factor Construction Process: The factor involves identifying industries with strong performance and selecting stocks within those industries based on various fundamental and technical factors; Factor Evaluation: The factor aims to provide alternative perspectives and investment choices for investors by tracking market hotspots and selecting individual stocks within high-performing industries[6][13] Factor Backtesting Results 1. Dividend Quality Factor, Weekly Average Return: 1.64%[6][16] 2. Industry Performance Factor, Weekly Return: 6.20%[7][31]

Quantitative Models and Construction Methods - **Model Name**: "Offense and Defense Dividend 50 Portfolio" **Model Construction Idea**: This model aims to enhance returns by selecting high-dividend stocks with a balance of growth and stability, outperforming the benchmark dividend indices[6][15] **Model Construction Process**: The portfolio is constructed by combining stocks with high dividend yields, growth potential, and low volatility. The selection process involves filtering stocks based on dividend-related factors and optimizing the portfolio to achieve a balance between growth and defensive characteristics[6][15] **Model Evaluation**: The model demonstrates strong performance, consistently outperforming the benchmark dividend indices and ranking in the top percentile among dividend-focused funds[6][21] - **Model Name**: "Central SOE High Dividend 30 Portfolio" **Model Construction Idea**: This model focuses on central state-owned enterprises (SOEs) with high dividend payouts, aiming to capture stable returns from these entities[15] **Model Construction Process**: The portfolio is constructed by selecting 30 central SOEs with the highest dividend yields. The selection criteria emphasize stability and consistent dividend payouts[15] **Model Evaluation**: The model shows stable performance, delivering excess returns over the benchmark dividend indices[15][21] - **Model Name**: "Electronic Sector Enhanced Portfolios" **Model Construction Idea**: These models aim to enhance returns within the electronic sector by focusing on high-growth sub-sectors and leading companies in mature sub-sectors[15][31] **Model Construction Process**: 1. **Balanced Allocation Enhanced Portfolio**: This portfolio is constructed by evenly allocating weights across various electronic sub-sectors to achieve diversification[15] 2. **Sector Leader Enhanced Portfolio**: This portfolio focuses on leading companies in mature sub-sectors, emphasizing their growth potential and market dominance[15][31] **Model Evaluation**: Both portfolios demonstrate positive returns, with the Sector Leader Enhanced Portfolio delivering higher excess returns relative to the electronic sector index[31] Model Backtesting Results - **Offense and Defense Dividend 50 Portfolio**: - Weekly excess return: ~1.41% over the CSI Dividend Total Return Index[6][21] - Year-to-date excess return: ~3.52% over the CSI Dividend Total Return Index[21] - Weekly performance percentile: ~11% among dividend-focused funds[6][21] - **Central SOE High Dividend 30 Portfolio**: - Weekly excess return: ~0.35% over the CSI Dividend Total Return Index[6][21] - **Electronic Sector Enhanced Portfolios**: - **Balanced Allocation Enhanced Portfolio**: Weekly excess return: ~0.89% over the electronic sector index[31] - **Sector Leader Enhanced Portfolio**: Weekly excess return: ~0.89% over the electronic sector index[31] Quantitative Factors and Construction Methods - **Factor Name**: Dividend Quality **Factor Construction Idea**: This factor evaluates the stability and sustainability of a company's dividend payouts[16][18] **Factor Construction Process**: The factor is calculated using metrics such as dividend payout ratio, historical dividend growth rate, and earnings stability. Companies with higher scores on these metrics are ranked higher[16][18] **Factor Evaluation**: The factor demonstrates strong predictive power for identifying high-performing dividend stocks[16][18] - **Factor Name**: Dividend Growth **Factor Construction Idea**: This factor focuses on the growth potential of a company's dividends over time[16][18] **Factor Construction Process**: The factor is derived from the historical growth rate of dividends and projected earnings growth. Companies with consistent and high dividend growth rates are ranked higher[16][18] **Factor Evaluation**: The factor shows significant excess returns compared to pure dividend yield factors[16][18] - **Factor Name**: Low Volatility Dividend **Factor Construction Idea**: This factor targets stocks with high dividend yields and low price volatility[16][18] **Factor Construction Process**: The factor is constructed by combining dividend yield with a volatility measure (e.g., standard deviation of returns). Stocks with high yields and low volatility are ranked higher[16][18] **Factor Evaluation**: The factor provides a defensive characteristic, outperforming during market downturns[16][18] Factor Backtesting Results - **Dividend Quality Factor**: - Weekly excess return: ~1.94% over the CSI Dividend Index[18] - **Dividend Growth Factor**: - Weekly excess return: ~0.92% over the CSI Dividend Index[18] - **Low Volatility Dividend Factor**: - Weekly excess return: ~0.69% over the CSI Dividend Index[18]

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - This week, the market sentiment recovered, with the Sci - tech Innovation Board leading the rise. Small and micro - cap stocks remained active, and dividend assets with relatively strong defensive attributes also achieved positive returns. Among the dividend sub - sectors, the central and state - owned enterprise dividend series index had a more prominent performance, with an average increase of about 2.44%. The A - share industries continued to diverge, and the commodity market was strong under the "anti - involution" market. In the electronics sector, semiconductor equipment and optical components led the gains. The dividend and electronics enhanced portfolios had weak excess performance, but the electronics balanced allocation enhanced portfolio outperformed the median return of active technology funds [2][7]. 3. Summary by Related Catalogs 3.1 Introduction of Active Quantitative Products - Since July 2023, the Yangtze River Quantitative Finance team has launched multiple active quantitative products such as the dividend selection strategy and the industry high - win - rate strategy. The active quantitative product weekly report is launched to track the performance of active quantitative strategies, including new strategy releases and the return performance of existing strategies [6][13]. 3.2 Strategy Tracking 3.2.1 Dividend Series - Market performance: The market sentiment recovered, with the Sci - tech Innovation 50 and the Sci - tech Innovation Composite Index rising about 4.63% and 3.95% respectively this week. Small and micro - cap stocks were active. Dividend assets achieved positive returns, and the central and state - owned enterprise dividend series index had an average increase of about 2.44%. - Strategy performance: Although the central and state - owned enterprise high - dividend 30 portfolio achieved positive returns, affected by the cyclical product market, both dividend portfolios failed to outperform the CSI Dividend Total Return Index. Since the beginning of 2025, the offensive and defensive dividend 50 portfolio has an excess return of about 1.91% and ranks at about the 44th percentile among all dividend - type funds [7][15][21]. 3.2.2 Electronics Series - Market performance: A - share industries continued to diverge. The commodity market was strong, with raw materials and energy rising about 5.25% and 4.97% respectively. The public utilities and financial sectors significantly corrected. In the electronics sector, semiconductor equipment and optical components rose about 6.59% and 5.10% respectively, far ahead of other sub - tracks. - Strategy performance: This week, the electronics balanced allocation enhanced portfolio achieved positive returns and outperformed the median return of active technology funds, but both electronics portfolios failed to outperform the electronics total return index. Since the beginning of 2025, both portfolios have outperformed the electronics industry index, with excess returns of about 1.96% and 2.98% for the electronics balanced allocation enhanced portfolio and the electronics sector preferred enhanced portfolio respectively [7][24][31].

Quantitative Models and Construction Methods 1. Model Name: "攻守兼备红利50组合" (Balanced Dividend 50 Portfolio) - **Model Construction Idea**: This model adopts an active quantitative strategy with a "top-down" stock selection logic. It aims to identify high-potential stocks within dividend-related themes by leveraging a refined factor library and aligning with industry and thematic insights[14][15] - **Model Construction Process**: 1. The model focuses on dividend-related stocks, emphasizing a balance between "stability" and "growth" factors[15] 2. It selects stocks from a universe of high-dividend companies, incorporating both fundamental and thematic factors to refine the portfolio[14][15] 3. The portfolio is actively managed and periodically rebalanced to maintain alignment with the strategy's objectives[15] - **Model Evaluation**: The model demonstrates a strong ability to generate excess returns over the benchmark, showcasing its robustness in balancing defensive and growth-oriented attributes[22] 2. Model Name: "央国企高分红30组合" (Central SOE High Dividend 30 Portfolio) - **Model Construction Idea**: This model targets high-dividend stocks within central state-owned enterprises (SOEs), emphasizing stability and defensive characteristics[15] - **Model Construction Process**: 1. The portfolio is constructed by selecting 30 high-dividend stocks from central SOEs[15] 2. It prioritizes companies with consistent dividend payouts and strong financial health[15] 3. The portfolio is actively managed to ensure alignment with its defensive strategy[15] - **Model Evaluation**: The model is effective in capturing stable returns, making it suitable for risk-averse investors seeking consistent income[22] 3. Model Name: "电子均衡配置增强组合" (Electronics Balanced Allocation Enhanced Portfolio) - **Model Construction Idea**: This model aims to achieve balanced exposure within the electronics sector, focusing on diversification and stability[15] - **Model Construction Process**: 1. The portfolio selects stocks across various sub-sectors within the electronics industry[15] 2. It employs a balanced allocation strategy to mitigate concentration risks[15] 3. The portfolio is periodically rebalanced to maintain its diversified structure[15] - **Model Evaluation**: The model has demonstrated positive excess returns over the electronics sector index, indicating its effectiveness in achieving balanced growth[32] 4. Model Name: "电子板块优选增强组合" (Electronics Sector Preferred Enhanced Portfolio) - **Model Construction Idea**: This model focuses on identifying leading companies within mature sub-sectors of the electronics industry, emphasizing growth potential[15] - **Model Construction Process**: 1. The portfolio targets mature sub-sector leaders with strong fundamentals and growth prospects[15] 2. It employs a factor-based approach to refine stock selection within the electronics sector[15] 3. The portfolio is actively managed to capitalize on emerging opportunities within the sector[15] - **Model Evaluation**: The model has achieved significant excess returns over the electronics sector index, highlighting its ability to capture growth opportunities[32] --- Model Backtesting Results 1. "攻守兼备红利50组合" - Excess return over the CSI Dividend Total Return Index: 4.76% (YTD 2025)[22] - Weekly excess return: 0.85%[22] 2. "央国企高分红30组合" - Weekly excess return over the CSI Dividend Total Return Index: 0.11%[22] 3. "电子均衡配置增强组合" - Excess return over the electronics sector index (YTD 2025): 2.40%[32] 4. "电子板块优选增强组合" - Excess return over the electronics sector index (YTD 2025): 5.83%[32]

- The report introduces several active quantitative strategies launched by the Changjiang Golden Engineering team since July 2023, including the Dividend Selection Strategy and the Industry High Win Rate Strategy[4][12][13] - The report tracks the performance of two dividend portfolios and two electronic portfolios, highlighting their significant excess returns relative to their respective benchmarks since the beginning of the year[4][13][20] - The Dividend Series includes the "Central State-owned Enterprises High Dividend 30 Portfolio" and the "Balanced Dividend 50 Portfolio," while the Industry Enhancement Series focuses on the electronics sector, including the "Electronic Balanced Configuration Enhancement Portfolio" and the "Electronic Sector Preferred Enhancement Portfolio"[13][14][20] - The "Electronic Sector Preferred Enhancement Portfolio" outperformed the electronics industry index by approximately 0.52% on a weekly basis, and since the beginning of 2025, the "Electronic Balanced Configuration Enhancement Portfolio" and the "Electronic Sector Preferred Enhancement Portfolio" have exceeded the electronics industry index by approximately 3.97% and 5.78%, respectively[5][23][30]