- Dividend Low Volatility, Dividend Low Volatility 100 and Orient Dividend Low Volatility.
The previous article "Active VS Index Again: The Differentiated Investment Opportunities of the Smart Beta Index Are Worth Paying Attention to!".》》According to the introduction, when there is a certain degree of huddle in the stock selection of the public offering**, smart beta can bring good excess returns through differentiation and mechanical operation. Among them mentioned,Within the dividend style, active stock selection is concentrated in a few, such as China State Construction, China Telecom, China Mobile, PetroChina, Sinopec, CNOOC, Zijin Mining, Shaanxi Coal, China Shenhua, COSCO Shipping Holdings, etc.
In addition to their common characteristics, there are also high dividend yieldsThe plate is large, the flow is good, the texture is good, and there is a moatWait.
But in fact, there are some small and medium-cap, less liquid, and less qualitative companies in high dividends, which are not without investment valueOften, only smart beta will be selected to grasp its investment opportunities.
As we all know, at the beginning of 2021, after the public offering ** group went to the extreme,There was a reversal effect in the marketIn the past, many public offerings that were not looked down upon have begun to perform, especially in dividends, medium and special valuations, and small and micro disks.
The following table lists the comparison of the active vs index performance of the mainstream dividend style** since the gradual collapse of the huddle and the strong dividend style on February 10, 2021(The active ** style division only represents personal subjective opinions, as of 2023-12-12, **choice).
As you can see, the dividend index is performing better overall, especially the bonus + low volatility performance is better. The previous article "In this round of **, why can the low wave of dividends perform well?".》Analyzed: Low volatility with most strategies can have bonuses, among which bonus + low volatility is currently the most widely used;
The current market environment may still be suitable for dividend strategies in the short term, and the dividend style is still very cost-effective in terms of valuation and dividend yield
Therefore, this article continues to sort out all the dividend strategy indices for you.
At present, there are ** tracking, relatively pure dividend strategy indexes, at least 15!
We don't need to pay so much attention to it, and we can't study it so much, so let's do a simple screening first:
Single market can be excluded (Shenzhen, Shanghai, Hong Kong).
and dividend indices containing Hong Kong stocks can be excluded (amount.
Long-term underperformance of CSI dividends can be excluded.
The chart below shows the return comparison of the major indices since 2012-8-1 (the black line is the CSI dividend, and the best return is the TOSE dividend low volatility).
I selected the top three dividend low waves, dividend low wave 100, and Dongfanghong dividend low wave for the remaining indexes, and I will give you a detailed analysis.
PS1: The dividend yield of a dividend strategy is a very important part of earnings**. Therefore, when looking at the dividend index,Priority should be given to the all-return index rather than the ** index
PS2: If you pull the comparison since 2009-12-30, these are also the best.
The CSI Dividend Low Volatility Index selects 50 companies with good liquidity, continuous dividends, moderate dividend payout ratio, positive dividend growth per share, and high dividend yield and low volatility as index samples.
From the base date of 2005-12-30 to 2023-12-7 (about 17 years), the cumulative return of the Dividend Low Volatility Total Return Index is 16898% (about 17 times), with an annualized rate of return of 1799%, the chart below is the trend situation, in the long run, steady upward, the recent ** is just a small wave.
E Fund, Huatai Berry and Chuangjin Hexin all have tracking**. Chuangjin Hexin was established earlier, and the excess income is better, and the quantitative level of Chuangjin Hexin is still good.
The steps of the stock selection plan are as follows:
1) Consecutive cash dividends in the past 3 years and the annual after-tax cash dividend yield is greater than 0;
This would eliminate about 60% of the companies).
2) Calculate its dividend payout ratio for the past year and dividend growth rate per share for the past three years, excluding the top 5% or negative payout ratio**, and excluding the growth rate of non-positive**
The dividend payout ratio is too high, which means that the company has little growth potential, and all the money earned is divided. Dividend growth represents an increase in the company's dividend amount, indicating better profit and cash flow growth).
3) Calculate the average after-tax cash dividend yield over the past three years and the volatility over the past year;According to the average after-tax cash dividend yield in descending order over the past three years, the top 75 stocks are selected
4) Ranking in ascending volatility over the past year, select the top 50** as index samples.
The first two items are eliminated, and the last two are selected, and those selected are all high dividend yields and low volatilityDividend yield weighting. The dividend factor is fully exposed.
The CSI Dividend Low Volatility 100 Index selects 100 ** stocks with good liquidity, continuous dividends, high dividend yield and low volatility as index samples from the Shanghai ** market.
Both Invesco Great Wall and Tianhong have tracked**, and they have both outperformed the index benchmark since their inception, Tianhong was established earlier, but Invesco Great Wall has significantly more excess returns.
The main stock selection steps are as follows:
1) Exclude the bottom 20% of the average daily earnings in the past year**;
2) Select the ** that has paid cash dividends in the past three consecutive years and has a cash dividend yield greater than 0 in each year
3) Rank in descending order according to dividend yield, and select the top 300**;
4) Based on the ascending volatility ranking of the past year, select the top 100** as the index sample.
Compared with the stock selection rules of the dividend low volatility index, the dividend low volatility 100 does not have such high requirements for the dividend payout ratio and dividend growth rate, which can be understoodThe requirements for growth have been slightly reduced.
The number has been increased from 50 to 100, so the weight of the Bonus Low Wave 100 is more dispersed, with the top 10 concentration being 19% and the Bonus Low Wave being 26%.
The 100-weighted dividend low-volatility method adopts a combination of "market capitalization + dividend yield + low volatility". Compared to the dividend low volatility index,There is more exposure to low volatility.
The chart below shows the sector distribution of the two indexes, the dividend low wave 100 is more biased towards traditional industries and cyclical industries.
It is difficult to judge the high and low simply by looking at the compilation rules, from the performance point of view, from the 2005-12-30 index base date, the two indices are also comparableSo it's really hard to say which of these two indices is better, can only say that they are all good!If you have to be superiorThe Dividend Low Volatility 100 has performed better in the past decade.
CSI Dongfanghong Dividend Low Volatility Index is a customized index of Orient Securities Asset Management, which selects 100 ** stocks with relatively stable earnings, high expected dividend yield and low volatility characteristics from the Shanghai ** market as index samples. Weighted with expected dividend yield.
The index was released on 2020-4-21, and the **2021-12-30 tracked by Dongfanghong was established, and the strange thing is that Dongfanghong's own customized index did not outperform (see the figure below, removing the one-month position opening period).
The main stock selection steps for the index are as follows.
1) Exclude the bottom 20% of the average daily earnings in the past year**;
(2) Calculate the mean and standard deviation of the non-ROE deducted in the past three years, and rank from high to low according to the difference between the two, and remove the bottom 30% of the ranking**;;
3) Exclude those who have not continuously implemented cash dividends in the past three years
4) CalculationsExpected dividend yieldAnd rank from high to low, excluding the bottom 60% of the rankings**;
5) Calculate the standard deviation of their weekly returns over the past five years and rank them from low to high, and select the top 100** as the index sample.
What's the difference between it?Mainly in clause (2).Excluding companies with poor profitability and unstable earnings is equivalent to adding a little bit of quality factor. Clause (4) is also a bit different, using the expected dividend yield, which is calculated by the analyst.
There are fewer cyclical stocks selected, mainly in industries such as banks, highways, ports, and utilities with more stable operations. The chart below shows the industry distribution (2023-12-12).
The chart below shows the top 10 heavyweights (2023-12-12).
If you think to add,Take a look at the diagram below. Since 2021-2-10, it is not only the stage of good performance of the bonus style, but also the stage of poor performance of the quality style. The Orient Stock Exchange Dividend Low Wave with the Quality Factor underperformed the pure Dividend Low Wave.
If you think don't add,Take a look at the diagram belowIn the long run, the return of the Orient Stock Exchange dividend is better with low volatility. Since the base date of 2009-12-31, it has outperformed all other dividend strategy indices. In particular, in 2017 and 2019-2020, the performance was better during the strong quality style.
As of 2023-12-12, **wind, 20204 The previous data is backtest, there may be overfitting).
If you think that since the quality factor is so powerful, then add morePlease see the chart below is the comparison of the past ten years, the dividend potential and dividend quality are the index of the quality style, and the dividend is only used as an auxiliary. As you can see,After further exposing the quality factor, the volatility of the index is significantly amplified, and it gradually loses the characteristics of the dividend strategy.
If you think that's better don't add it,Looking at the chart below, in the long run, the index with more exposure to the quality factor has a significantly better return than the dividend strategy index alone.
Having said so much, it's not to make everyone dizzy. Rather, I want to help you realize a little bit of thisEven if you choose an index, you should not only focus on the yield, but also analyze the return behind it**, and choose it in combination with your own investment philosophy, investment strategy and risk appetite.
For example, if you just want to choose a pure bonus strategy to put in the portfolio for defense, then you should choose Bonus Low Volatility or Bonus Low Volatility 100.
If you have a strong risk tolerance and long-term goals, and want to choose a long-term rate of return with the best long-term returns, then you should consider the Quality Style Index.
Dongfanghong Dividend Low Volatility is suitable for investors who want to have good long-term returns and more stable returns.
Finally, let's compare the volatility and drawdown of several indices, we can see that the CSI dividend is less volatile than the CSI 300, and the low volatility of the dividend can further reduce the volatility, but objectively speaking, the reduction is not large, mainly because A-shares are inherently volatile.
Note: This is the ** index, 2010-1-1 to 2023-12-12, **choice).
Conclusion:The quality style is the best performing style in the long run, but it has been underperforming for almost three years now, and it deserves everyone's gradual attention.
In the next article, I will coverDividend quality, dividend potential, consumption dividendThese three indices, although they all carry dividends in their namesIn fact, they are all indexes of quality style. Everyone is welcome to continue to ***
Tips: **There are risks, investment needs to be cautious!This article is only a personal research and analysis, not as an investment basis, and you are responsible for your own profits and losses.