紅利投資的特征和增強(qiáng)

目錄紅利投資正當(dāng)時 4紅利投資價值何在？ 4紅利投資策略的特征 6中證紅利指數(shù)的編制方案 6中證紅利指數(shù)的風(fēng)格、行業(yè)特征 7風(fēng)格征 7行業(yè)征 8紅利投資在何種環(huán)境下表現(xiàn)強(qiáng)勢 牛熊換 盈利期 12庫存期 13貨幣用期 14紅利投資的收益板塊于風(fēng)格分析 16牛熊輪換下的紅利投資收益拆解 16行業(yè)塊 16風(fēng)格現(xiàn) 18盈利周期下的紅利投資收益拆解 19行業(yè)塊 19風(fēng)格現(xiàn) 22庫存周期下的紅利投資收益拆解 23行業(yè)塊 23風(fēng)格現(xiàn) 26貨幣信用周期下的紅利投資收益拆解 28行業(yè)塊 28風(fēng)格現(xiàn) 31紅利投資的增強(qiáng)方案 32紅利投資的增強(qiáng)方案一 32紅利投資的增強(qiáng)方案二 345. 總結(jié) 35圖表目錄圖1：萬得全A指數(shù)公司分紅家數(shù) 4圖2：萬得全A指數(shù)公司分紅家數(shù)占比 4圖3：萬得全A指數(shù)分紅總額 4圖4：萬得全A指數(shù)支付率 4圖5：中證紅利數(shù)凈表現(xiàn) 5圖6：中證紅利收益數(shù)凈值表現(xiàn) 5圖7：常見指數(shù)PE_TTM(整體法對比 5圖8：常見指數(shù)PB_LF(整體法對比 5圖9：中證紅利數(shù)風(fēng)暴露 7圖10：中證紅利指數(shù)成股風(fēng)格暴露均值 8圖中證紅利指數(shù)成股風(fēng)格暴露中位數(shù) 8圖12：中證紅利指數(shù)成股權(quán)重行業(yè)分布 9圖13：中證紅利指數(shù)成股數(shù)量占比行業(yè)分布 9圖14：中證紅利指數(shù)成股權(quán)重板塊分布 10圖15：中證紅利指數(shù)成股數(shù)量板塊分布 圖16：不同市場階段下中證紅利全收益指表現(xiàn) 12圖17：不同盈利周期下中證紅利全收益指表現(xiàn) 13圖18：不同庫存周期下中證紅利全收益指表現(xiàn) 14圖19：不同貨幣信用周下的中證紅利全收指表現(xiàn) 15圖20：不同市場階段下中證紅利指數(shù)成分分塊相對表現(xiàn)股息率加權(quán) 17圖21：不同市場階段下中證紅利指數(shù)成分分塊相對表現(xiàn)等權(quán) 18表10：不同盈利周期下中證紅利指數(shù)成分分塊相對表現(xiàn)股息率加權(quán) 19圖22：不同盈利周期下中證紅利指數(shù)成分分塊相對表現(xiàn)股息率加權(quán) 20表不同盈利周期下中證紅利指數(shù)成分分塊相對表現(xiàn)等權(quán) 20圖23：不同盈利周期下中證紅利指數(shù)成分分塊相對表現(xiàn)等權(quán) 21表12：不同盈利周期下全部A分板塊相對表現(xiàn) 21圖24：不同盈利周期下全部A股分板塊相對表現(xiàn) 22圖25：不同庫存周期下中證紅利指數(shù)成分分塊相對表現(xiàn)股息率加權(quán) 24圖26：不同庫存周期下中證紅利指數(shù)成分分塊相對表現(xiàn)等權(quán) 25圖27：不同庫存周期的A股分板塊相對表現(xiàn) 26圖28：不同貨幣信用周下的中證紅利指數(shù)分分板塊相對表現(xiàn)股息率權(quán) 29圖29：不同貨幣信用周下的中證紅利指數(shù)分分板塊相對表現(xiàn)等權(quán) 30圖30：不同貨幣信用周下的A股分板塊相對表現(xiàn) 31圖31：紅利增強(qiáng)組合1凈值表現(xiàn)（2016.01-2023.10，雙邊千三） 33圖32：紅利增強(qiáng)組合2凈值表現(xiàn)（2016.01-2023.10，雙邊千三） 35表1：中證紅利收益數(shù)表現(xiàn)（2012.01-2023.09） 6表2：不同市場段下中證紅利全收益指月收益表現(xiàn) 表3：不同盈利期下中證紅利全收益指月收益表現(xiàn) 12表4：不同庫存期下中證紅利全收益指月收益表現(xiàn) 14表5：不同貨幣用周下的中證紅利全收指表現(xiàn) 15表6：不同市場段下中證紅利指數(shù)成分分塊相對表現(xiàn)股息率加權(quán) 16表7：不同市場段下中證紅利指數(shù)成分分塊相對表現(xiàn)等權(quán) 17表8：牛熊輪換中證利成分各風(fēng)格表現(xiàn)股息加權(quán) 18表9：牛熊輪換中證利成分各風(fēng)格表現(xiàn)等權(quán) 19表13：不同盈利周期下證紅利成分各風(fēng)格現(xiàn)息率加權(quán) 22表14：不同盈利周期下證紅利成分各風(fēng)格現(xiàn)23表15：不同盈利周期下A股各風(fēng)格表現(xiàn)等權(quán) 23表16：不同庫存周期下中證紅利指數(shù)成分分塊相對表現(xiàn)股息率加權(quán) 24表17：不同庫存周期下中證紅利指數(shù)成分分塊相對表現(xiàn)等權(quán) 25表18：不同庫存周期的A股分板塊相對表現(xiàn) 26表19：不同庫存周期下證紅利成分各風(fēng)格現(xiàn)息率加權(quán) 27表20：不同庫存周期下證紅利成分各風(fēng)格現(xiàn)27表21：不同庫存周期下部A股各風(fēng)格表現(xiàn)等權(quán) 28表22：不同貨幣信用周下的中證紅利指數(shù)分分板塊相對表現(xiàn)股息率權(quán) 28表23：不同貨幣信用周下的中證紅利指數(shù)分分板塊相對表現(xiàn)等權(quán) 29表24：不同貨幣信用周下的A股分板塊相對表現(xiàn) 30表25：不同貨幣信用周下中證紅利成分各格現(xiàn)股息率加權(quán) 31表26：不同貨幣信用周下中證紅利成分各格現(xiàn)等權(quán) 32表27：不同貨幣信用周下全部A股各風(fēng)格表現(xiàn)等權(quán) 32表28：紅利增強(qiáng)組合1業(yè)績表現(xiàn)（2016.01-2023.10，雙邊千三） 33表29：紅利增強(qiáng)組合1分年收益（2016.01-2023.10，雙邊千三） 34表30：紅利增強(qiáng)組合2業(yè)績表現(xiàn)（2016.01-2023.10，雙邊千三） 35表31：紅利增強(qiáng)組合2分年收益（2016.01-2023.10，雙邊千三） 35紅利投資正當(dāng)時紅利投資價值何在？近年來，投資者對于紅利投資策略愈發(fā)關(guān)注。紅利投資是資產(chǎn)中長期增值的穩(wěn)健方案，紅利是上市公司內(nèi)在價值的決定性因素，長期穩(wěn)定的現(xiàn)金分紅是衡量上市公司投資價值的重要標(biāo)志，也是投資者投資股票市場獲取回報的重要手段。上市公司分紅可以幫助投資者衡量公司是否具有充足且穩(wěn)定現(xiàn)金流以及可預(yù)期盈利能力。尤其當(dāng)市場波動時，股票價格可能出現(xiàn)下跌，而股息收益可以幫助投資者對沖掉一部分股票下跌的風(fēng)險。在熊市時投資紅利股票，不但可以取得股息收益，同時也可吃到未來股價上漲的利得。紅利投資實際上為投資者提供了一個低風(fēng)險并可獲得資產(chǎn)中長期穩(wěn)定增值的投資思路。隨著證監(jiān)會鼓勵上市公司現(xiàn)金分紅的政策陸續(xù)出臺和上市公司治理水平的提升，A2022年A33501780家；2022A73%，相比5%圖1：萬得全A指數(shù)公司分紅家數(shù) 圖2：萬得全A指數(shù)公司分紅家數(shù)占比數(shù)據(jù)來源：wind, 數(shù)據(jù)來源：wind,2022A213672022年萬得全A41010，圖3：萬得全A指數(shù)分紅總額 圖4：萬得全A指數(shù)支付率數(shù)據(jù)來源：wind, 數(shù)據(jù)來源：wind,股權(quán)投資收益的來源分為兩部分：股息收入與資本利得，從資本利得上看，紅利股票體現(xiàn)出明顯的抗跌特征，短期呈現(xiàn)較好的避險效果，在市場波動或下跌時往往取得較高的超額收益；從股息收入上看，股息收入使得紅利資產(chǎn)長期維度上領(lǐng)先于市場指數(shù)。8圖5：中證紅利數(shù)凈表現(xiàn) 圖6：中證紅利收益數(shù)凈值表現(xiàn) 數(shù)據(jù)來源：wind, 數(shù)據(jù)來源：wind,2023年以來，中證紅利全收益指數(shù)收益10.12%，遠(yuǎn)超同期的其他寬基指數(shù)，一方面2023866%71.26%圖7：常見指數(shù)PE_TTM(整體法對比 圖8：常見指數(shù)PB_LF(整體法對比140.00

中證紅利中證全指300中證500中證1000

8.00

中證紅利中證全指300中證500中證1000120.00

7.00100.00

6.0080.0060.00

5.004.003.0040.0020.00

2.001.000.002014-102015-102016-102017-102018-102019-102020-102021-102022-10

0.00數(shù)據(jù)來源：wind, 數(shù)據(jù)來源：wind,表1：中證紅利全收益指數(shù)表現(xiàn)（2012.01-2023.09）中證紅利全收益指數(shù)收益中證全指全收益指數(shù)收益中證紅利全收益超額收益中證紅利全收益夏普比率中證全指全收益夏普比率中證紅利全收益超額夏普全區(qū)間11.26%6.82%4.15%0.530.310.442012年10.32%6.24%3.84%0.540.290.622013年-6.74%7.10%-12.92%-0.290.34-1.192014年57.59%48.41%6.19%3.222.771.062015年29.89%33.78%-2.91%0.730.85-0.322016年-4.30%-13.31%10.39%-0.19-0.511.332017年21.34%3.68%17.04%2.320.332.512018年-16.15%-28.79%17.75%-0.85-1.352.522019年20.88%33.41%-9.39%1.201.62-1.422020年8.18%26.87%-14.73%0.401.16-1.612021年18.19%7.70%9.74%1.140.480.702022年-0.37%-18.93%22.89%-0.02-0.931.642023年10.12%1.17%8.85%1.050.111.04數(shù)據(jù)來源：wind,紅利投資策略的特征本章以中證紅利指數(shù)為例分析紅利投資的特征，具體分析內(nèi)容包括中證紅利指數(shù)在各風(fēng)格上的暴露情況和在行業(yè)、板塊上的分布等。中證紅利指數(shù)的編制方案指數(shù)概況中證利數(shù)在市 A中出股息高紅穩(wěn)并具有一規(guī)模和動的100只構(gòu)建指以映兩市股類票整表現(xiàn)。中證紅利指數(shù)的基日為2004年12月31日，基點為1000點。樣本空間中證紅利指數(shù)的樣本空間為中證全指指數(shù)樣本空間中滿足以下條件的 A股紅籌業(yè)行存憑證：80%；80%；大于01。樣本選取與調(diào)整121000.5%；90%；90%；01；每次調(diào)整的樣本比例一般不超過20%于0.5%20%。加權(quán)方式中證紅利指數(shù)的加權(quán)方式為股息率加權(quán)。中證紅利指數(shù)的風(fēng)格、行業(yè)特征Beta0.76Beta-0.5881.43個標(biāo)準(zhǔn)差，在Beta風(fēng)格上的暴露為-1.02個標(biāo)準(zhǔn)差。圖9：中證紅利指數(shù)風(fēng)格暴露數(shù)據(jù)來源：通聯(lián)數(shù)據(jù)，201512露為BA0.490.380.39.6；0.390.500.33.4；0.800.640.210.38；股息1.67-0.04-0.23Beta20238月，1.33Beta-0.83-0.76。圖10：中證紅利指數(shù)成分股風(fēng)格暴露均值數(shù)據(jù)來源：通聯(lián)數(shù)據(jù)，圖11：中證紅利指數(shù)成分股風(fēng)格暴露中位數(shù)數(shù)據(jù)來源：通聯(lián)數(shù)據(jù)，2620151213.60%9.89%、9.03%、8.77%7.74%2023818.84%9.56%、交通運輸9.47%、煤炭9.00%、房地產(chǎn)6.28%。圖12：中證紅利指數(shù)成分股權(quán)重行業(yè)分布數(shù)據(jù)來源：wind，12.65%10.30%10.19%10.03%、汽車6.47%2023年816.00%9.00%、交通運輸8.00%8.00%8.00%。圖13數(shù)據(jù)來源：wind，42.02%25.79%14.82%12.13%1.87%2023849.26%、28.47%（TMT）5.12%圖14：中證紅利指數(shù)成分股權(quán)重板塊分布數(shù)據(jù)來源：wind，42.24%25.90%14.46%、2.23%2023849.00%、27.00%6.00%4.00%圖15：中證紅利指數(shù)成分股數(shù)量板塊分布數(shù)據(jù)來源：wind，紅利投資在何種環(huán)境下表現(xiàn)強(qiáng)勢201620180.97%表2：不同市場階段下的中證紅利全收益指數(shù)月均收益表現(xiàn)時間區(qū)間市場行情中證紅利全收益指數(shù)收益中證全指全收益指數(shù)收益超額收益震蕩行情0.70%1.35%-0.65%上漲行情9.62%9.47%0.15%下跌行情-5.80%-6.74%0.94%上漲行情1.94%0.97%0.97%下跌行情-2.32%-3.36%1.04%上漲行情7.49%9.37%-1.88%震蕩行情-1.87%-1.17%-0.70%上漲行情1.96%3.55%-1.59%下跌行情0.85%-0.56%1.41%數(shù)據(jù)來源：同花順，wind，圖16：不同市場階段下的中證紅利全收益指數(shù)表現(xiàn)數(shù)據(jù)來源：同花順，wind，12T12對于2.41。表3：不同盈利周期下的中證紅利全收益指數(shù)月均收益表現(xiàn)貨幣信用周期統(tǒng)計指標(biāo)中證紅利全收益指數(shù)中證全指全收益指數(shù)超額收益盈利上平均收益2.55%3.52%-0.85%中位數(shù)收益1.08%0.64%-0.70%勝率--33.33%盈虧比--3.48盈利下平均收益1.24%1.33%-0.05%中位數(shù)收益0.99%0.26%0.32%勝率--66.67%盈虧比--2.41數(shù)據(jù)來源：wind，圖17：不同盈利周期下的中證紅利全收益指數(shù)表現(xiàn)數(shù)據(jù)來源：wind，（2017存貨+（+營收（-營收-+T月、760.57%0.41%，紅利0.610.87%0.32%83.33%0.88。表4：不同庫存周期下的中證紅利全收益指數(shù)月均收益表現(xiàn)貨幣信用周期統(tǒng)計指標(biāo)中證紅利全收益指數(shù)中證全指全收益指數(shù)超額收益被動去庫平均收益-1.78%-2.57%0.87%中位數(shù)收益-0.28%-0.04%0.32%勝率--83.33%盈虧比--0.88主動補(bǔ)庫平均收益1.98%1.77%0.21%中位數(shù)收益2.97%2.73%0.23%勝率--57.14%盈虧比--2.13被動補(bǔ)庫平均收益0.10%-0.43%0.57%中位數(shù)收益-0.58%-0.93%0.41%勝率--85.71%盈虧比--0.61主動去庫平均收益1.12%0.76%0.38%中位數(shù)收益1.08%0.52%0.40%勝率--75.00%盈虧比--0.55數(shù)據(jù)來源：wind，圖18：不同庫存周期下的中證紅利全收益指數(shù)表現(xiàn)數(shù)據(jù)來源：wind，1T月相對于3T+1T+155年T月相對于利差變化的平均值為負(fù)則劃定T+1T+1+++++表5：不同貨幣信用周期下的中證紅利全收益指數(shù)表現(xiàn)貨幣信用周期統(tǒng)計指標(biāo)中證紅利全收益指數(shù)中證全指全收益指數(shù)超額收益寬貨幣+寬信用平均收益1.98%1.26%0.75%中位數(shù)收益0.26%0.15%0.65%勝率--65.00%盈虧比--1.01寬貨幣+緊信用平均收益0.94%-0.16%1.19%中位數(shù)收益1.24%-0.50%1.10%勝率--73.33%盈虧比--0.78緊貨幣+寬信用平均收益2.49%2.03%0.47%中位數(shù)收益2.51%1.81%-0.59%勝率--35.71%盈虧比--1.50緊貨幣+緊信用平均收益0.60%0.55%0.12%中位數(shù)收益0.57%0.51%0.36%勝率--50.00%盈虧比--1.70數(shù)據(jù)來源：wind，圖19：不同貨幣信用周期下的中證紅利全收益指數(shù)表現(xiàn)數(shù)據(jù)來源：wind，紅利投資的收益板塊于風(fēng)格分析根據(jù)以上分析，我們可以觀察到紅利投資策略并不是單一周期階段的強(qiáng)勢策略，本節(jié)我們將對不同周期條件下的紅利收益進(jìn)行拆解。牛熊輪換下的紅利投資收益拆解1.12%75%1.06。在（TMT）表6：不同市場階段下的中證紅利指數(shù)成分股分板塊相對表現(xiàn)-股息率加權(quán)數(shù)據(jù)來源：wind，圖20：不同市場階段下的中證紅利指數(shù)成分股分板塊相對表現(xiàn)-股息率加權(quán)數(shù)據(jù)來源：wind，表7：不同市場階段下的中證紅利指數(shù)成分股分板塊相對表現(xiàn)-等權(quán)市場行情統(tǒng)計指標(biāo)先進(jìn)制造醫(yī)藥醫(yī)療周期消費科技（TMT）金融地產(chǎn)上漲行情收益均值0.90%0.71%-0.29%0.55%-0.42%-0.69%收益中位數(shù)0.81%0.13%-0.17%0.61%-0.65%-0.55%勝率50.00%50.00%50.00%75.00%25.00%25.00%盈虧比3.841.790.295.073.880.03收益均值0.94%1.09%-0.87%0.41%3.10%-0.23%震蕩行情收益中位數(shù)0.94%1.09%-0.87%0.41%3.10%-0.23%勝率50.00%100.00%0.00%100.00%100.00%0.00%盈虧比26.81下跌行情收益均值-0.53%-0.91%-0.11%0.05%0.10%0.42%收益中位數(shù)-0.53%-0.95%0.41%0.06%0.92%-0.49%勝率0.00%0.00%66.67%66.67%66.67%33.33%盈虧比0.960.751.471.86數(shù)據(jù)來源：wind，圖21：不同市場階段下的中證紅利指數(shù)成分股分板塊相對表現(xiàn)-等權(quán)數(shù)據(jù)來源：wind，beta、beta表8：牛熊輪換下中證紅利成分各風(fēng)格表現(xiàn)-股息率加權(quán)市場行情統(tǒng)計指標(biāo)低Beta/高Beta小市值/大市值低估值/高估值高成長/低成長低杠桿/高杠桿低波動/高波動高盈利/低盈利高股息/低股息上漲行情收益均值-1.35%0.74%-0.12%0.90%0.22%-0.64%-0.15%-0.91%收益中位數(shù)-1.25%0.56%-0.15%1.12%0.15%-0.76%0.10%-1.02%勝率0.00%50.00%25.00%75.00%50.00%25.00%50.00%25.00%盈虧比1.323.552.052.630.551.381.93收益均值0.00%-0.20%0.05%0.45%-0.24%-0.13%-0.32%0.27%震蕩行情收益中位數(shù)0.00%-0.20%0.05%0.45%-0.24%-0.13%-0.32%0.27%勝率50.00%50.00%50.00%100.00%0.00%0.00%0.00%50.00%盈虧比1.821.382.168.56下跌行情收益均值1.40%-0.23%1.47%-0.18%-0.28%1.35%0.47%0.97%收益中位數(shù)1.19%-0.26%0.80%-0.03%-0.23%1.10%-0.44%1.21%勝率100.00%33.33%100.00%33.33%33.33%100.00%33.33%100.00%盈虧比3.600.610.152.16數(shù)據(jù)來源：通聯(lián)，wind，表9：牛熊輪換下中證紅利成分各風(fēng)格表現(xiàn)-等權(quán)市場行情統(tǒng)計指標(biāo)低Beta/高Beta小市值/大市值低估值/高估值高成長/低成長低杠桿/高杠桿低波動/高波動高盈利/低盈利高股息/低股息上漲行情收益均值-1.31%0.37%-0.23%0.93%0.08%-0.57%0.03%-0.79%收益中位數(shù)-1.10%0.10%-0.24%1.02%-0.14%-0.53%0.25%-1.18%勝率25.00%50.00%50.00%75.00%50.00%25.00%50.00%25.00%盈虧比0.021.050.985.692.410.111.811.57收益均值-0.08%-0.21%-0.23%0.51%0.05%0.04%-0.35%0.11%震蕩行情收益中位數(shù)-0.08%-0.21%-0.23%0.51%0.05%0.04%-0.35%0.11%勝率50.00%50.00%50.00%100.00%50.00%50.00%50.00%50.00%盈虧比1.101.090.7912.142.150.112.97下跌行情收益均值1.18%-0.01%1.20%-0.31%-0.19%1.10%0.35%0.96%收益中位數(shù)1.31%-0.31%0.71%-0.17%-0.32%1.02%-0.39%0.75%勝率100.00%33.33%100.00%0.00%33.33%100.00%33.33%100.00%盈虧比6.840.452.25數(shù)據(jù)來源：通聯(lián)，wind，盈利周期下的紅利投資收益拆解0.990.62%，盈虧比為1.25（TMT）（TMT）1.67%66.67%7.30。表10：不同盈利周期下的中證紅利指數(shù)成分股分板塊相對表現(xiàn)-股息率加權(quán)數(shù)據(jù)來源：wind，圖22：不同盈利周期下的中證紅利指數(shù)成分股分板塊相對表現(xiàn)-股息率加權(quán)數(shù)據(jù)來源：wind，盈利上收益中位數(shù) 勝率 盈利上收益中位數(shù) 勝率 盈虧比 收益均值 收益中位0.990.57%盈利下盈利周期統(tǒng)計指標(biāo)先進(jìn)制造醫(yī)藥醫(yī)療周期消費科技（TMT）金融收益均值0.31%3.18%-0.12%0.62%0.09%數(shù)據(jù)來源：wind，圖23：不同盈利周期下的中證紅利指數(shù)成分股分板塊相對表現(xiàn)-等權(quán)數(shù)據(jù)來源：wind，而在全部A全部ATTA表12：不同盈利周期下的全部A分板塊相對表現(xiàn)盈利周期統(tǒng)計指標(biāo)先進(jìn)制造醫(yī)藥醫(yī)療周期消費科技（TMT）金融地產(chǎn)盈利上收益均值0.93%0.96%-0.11%0.13%1.72%-1.56%收益中位數(shù)0.33%1.03%-0.31%-0.06%1.92%-1.14%勝率66.67%83.33%50.00%33.33%66.67%16.67%盈虧比2.430.721.153.151.081.55收益均值-0.03%0.77%-0.57%0.83%0.03%-0.32%盈利下收益中位數(shù)-0.16%-0.20%-0.41%0.42%0.00%0.11%勝率33.33%33.33%0.00%83.33%50.00%66.67%盈虧比0.851.781.501.861.29數(shù)據(jù)來源：wind，圖24：不同盈利周期下的全部A股分板塊相對表現(xiàn)數(shù)據(jù)來源：wind，表13：不同盈利周期下中證紅利成分各風(fēng)格表現(xiàn)-股息率加權(quán)盈利周期統(tǒng)計指標(biāo)低Beta/高Beta小市值/大市值低估值/高估值高成長/低成長低杠桿/高杠桿低波動/高波動高盈利/低盈利高股息/低股息盈利上收益均值0.28%1.61%0.05%0.72%-0.29%0.02%-0.41%-0.19%收益中位數(shù)0.30%0.18%-0.17%0.52%0.11%-0.07%-0.56%0.40%勝率66.67%50.00%50.00%83.33%66.67%33.33%33.33%66.67%盈虧比4.190.802.4425.610.491.652.133.29盈利下收益均值-0.56%0.09%0.16%0.55%-0.20%0.30%0.05%0.37%收益中位數(shù)-0.34%0.50%0.20%0.09%-0.52%0.54%-0.39%0.51%勝率33.33%50.00%66.67%50.00%33.33%83.33%16.67%83.33%盈虧比1.261.793.322.000.712.081.680.95數(shù)據(jù)來源：通聯(lián)，wind，表14：不同盈利周期下中證紅利成分各風(fēng)格表現(xiàn)-等權(quán)盈利周期統(tǒng)計指標(biāo)低Beta/高Beta小市值/大市值低估值/高估值高成長/低成長低杠桿/高杠桿低波動/高波動高盈利/低盈利高股息/低股息盈利上收益均值-0.04%1.31%-0.21%0.44%-0.07%-0.04%-0.14%-0.37%收益中位數(shù)0.36%0.34%-0.14%0.35%0.22%0.07%-0.35%0.08%勝率66.67%66.67%50.00%66.67%83.33%66.67%50.00%66.67%盈虧比2.370.441.492.891.161.011.561.96收益均值-0.31%0.17%0.07%0.64%-0.23%0.29%0.11%0.27%盈利下收益中位數(shù)-0.38%0.60%0.18%0.32%-0.44%0.48%-0.26%0.36%勝率33.33%50.00%50.00%83.33%16.67%66.67%16.67%83.33%盈虧比2.081.945.131.680.678.061.760.72數(shù)據(jù)來源：通聯(lián)，wind，AAAA表15：不同盈利周期下A股各風(fēng)格表現(xiàn)-等權(quán)盈利周期統(tǒng)計指標(biāo)低Beta/高Beta小市值/大市值低估值/高估值高成長/低成長低杠桿/高杠桿低波動/高波動高盈利/低盈利高股息/低股息盈利上收益均值0.18%0.46%0.44%0.22%-0.09%0.93%0.22%0.30%收益中位數(shù)0.16%0.26%0.25%0.03%-0.01%1.01%0.38%0.28%勝率66.67%66.67%66.67%66.67%50.00%83.33%66.67%66.67%盈虧比1.5215.6217.5311.340.876.070.978.89收益均值-0.17%0.68%-0.14%0.29%0.33%0.19%0.51%0.07%盈利下收益中位數(shù)-0.09%1.00%0.80%0.18%-0.11%0.45%0.24%0.61%勝率33.33%66.67%66.67%66.67%33.33%66.67%66.67%66.67%盈虧比0.649.183.040.451.447.411.453.84數(shù)據(jù)來源：通聯(lián)，wind，庫存周期下的紅利投資收益拆解與全A表16：不同庫存周期下的中證紅利指數(shù)成分股分板塊相對表現(xiàn)-股息率加權(quán)數(shù)據(jù)來源：wind，圖25：不同庫存周期下的中證紅利指數(shù)成分股分板塊相對表現(xiàn)-股息率加權(quán)數(shù)據(jù)來源：wind，表17：不同庫存周期下的中證紅利指數(shù)成分股分板塊相對表現(xiàn)-等權(quán)庫存周期統(tǒng)計指標(biāo)先進(jìn)制造醫(yī)藥醫(yī)療周期消費科技（TMT）金融地產(chǎn)被動補(bǔ)庫收益均值-0.55%-1.16%0.18%-1.04%0.46%0.82%收益中位數(shù)-0.08%-1.29%0.05%-0.88%1.65%0.08%勝率33.33%16.67%66.67%33.33%83.33%50.00%盈虧比0.303.102.290.651.150.92收益均值-0.37%-0.51%-0.08%0.77%-0.46%-0.23%主動去庫收益中位數(shù)-0.23%0.26%-0.40%0.65%0.08%0.02%勝率37.50%50.00%12.50%75.00%50.00%62.50%盈虧比1.282.190.741.530.840.70被動去庫收益均值0.82%1.17%-0.26%0.22%1.60%-0.45%收益中位數(shù)0.01%0.99%-0.60%0.58%0.42%-0.86%勝率60.00%60.00%20.00%80.00%60.00%40.00%盈虧比3.371.292.500.431.980.25收益均值1.94%1.27%-0.65%0.47%2.06%-1.34%主動補(bǔ)庫收益中位數(shù)1.91%1.35%0.10%0.65%1.09%-1.03%勝率66.67%83.33%66.67%66.67%66.67%16.67%盈虧比2.420.270.161.463.550.02數(shù)據(jù)來源：wind，圖26：不同庫存周期下的中證紅利指數(shù)成分股分板塊相對表現(xiàn)-等權(quán)數(shù)據(jù)來源：wind，在全A（TMT）（TMT）表18：不同庫存周期下的A股分板塊相對表現(xiàn)庫存周期統(tǒng)計指標(biāo)先進(jìn)制造醫(yī)藥醫(yī)療周期消費科技（TMT）金融地產(chǎn)被動補(bǔ)庫收益均值-0.27%-0.12%-0.25%-0.22%-0.62%0.98%收益中位數(shù)-0.21%-1.50%-0.30%-0.39%-0.49%-0.08%勝率33.33%33.33%33.33%33.33%33.33%50.00%盈虧比4.551.743.192.100.521.16收益均值-0.52%0.19%-0.29%0.67%0.33%0.24%主動去庫收益中位數(shù)-0.70%0.20%-0.48%0.63%0.71%0.23%勝率12.50%62.50%12.50%62.50%62.50%50.00%盈虧比1.831.370.511.992.451.90被動去庫收益均值0.87%1.03%0.22%0.58%-0.66%-0.19%收益中位數(shù)0.43%0.71%0.33%0.56%-1.51%-0.37%勝率80.00%60.00%80.00%80.00%40.00%20.00%盈虧比4.464.380.421.360.960.60收益均值1.53%-0.47%0.39%-0.32%1.59%-1.04%主動補(bǔ)庫收益中位數(shù)1.51%0.97%0.08%-0.06%1.57%-1.43%勝率66.67%66.67%50.00%33.33%66.67%33.33%盈虧比1.700.621.341.061.070.97數(shù)據(jù)來源：wind，圖27：不同庫存周期下的A股分板塊相對表現(xiàn)數(shù)據(jù)來源：wind，BataA主動補(bǔ)庫被動補(bǔ)庫主動去庫被動去庫主動補(bǔ)庫被動補(bǔ)庫主動去庫被動去庫庫存周期統(tǒng)計指標(biāo)低Beta/高小市值/大市低估值/高估高成長/低成低杠桿/高杠低波動/高波高盈利/低盈高股息/低Beta值值長桿動利收益均值0.24%1.67%0.38%-0.21%0.14%0.07%-0.25%收益中位數(shù)-0.01%1.71%0.63%0.14%0.15%0.33%勝率50.00%66.67%66.67%50.00%83.33%50.00%盈虧比1.741.621.380.430.28收益均值-0.31%-0.16%0.59%0.07%-1.收益中位數(shù)-0.44%-0.09%-0.28%-0.50%勝率16.67%50.00%50.00%盈虧比1.920.920.74收益均值0.28%-0.66%收益中位數(shù)0.24%-0.勝率62.50%數(shù)據(jù)來源：通聯(lián)，wind，主動補(bǔ)庫被動補(bǔ)庫主動去庫被動去庫主動補(bǔ)庫被動補(bǔ)庫主動去庫被動去庫庫存周期統(tǒng)計指標(biāo)低Beta/高小市值/大市低估值/高估高成長/低成低杠桿/高杠低波動/高波高盈利/低盈高股息/低Beta值值長桿動利收益均值0.05%1.37%0.26%-0.27%0.27%0.60%-0.52%收益中位數(shù)0.54%1.36%0.39%-0.19%0.12%0.57%勝率66.67%66.67%66.67%50.00%50.00%66.67%盈虧比1.141.261.410.501.94收益均值-0.26%0.06%0.55%-0.03%-0.收益中位數(shù)-0.22%0.28%-0.06%-0.23%勝率33.33%66.67%50.00%盈虧比1.781.380.91收益均值0.21%-0.77%收益中位數(shù)0.21%-0.勝率62.50%數(shù)據(jù)來源：通聯(lián)，wind，在全部AA表21：不同庫存周期下全部A股各風(fēng)格表現(xiàn)-等權(quán)庫存周期統(tǒng)計指標(biāo)低Beta/高Beta小市值/大市值低估值/高估值高成長/低成長低杠桿/高杠桿低波動/高波動高盈利/低盈利高股息/低股息主動補(bǔ)庫收益均值-0.13%0.97%0.80%0.22%0.07%0.71%-0.34%0.16%收益中位數(shù)-0.07%0.44%0.99%0.21%0.02%0.85%-0.26%0.52%勝率50.00%83.33%66.67%66.67%50.00%66.67%33.33%66.67%盈虧比1.920.372.011.380.781.630.951.29收益均值-0.15%0.59%0.54%0.03%-0.24%0.78%0.10%0.36%被動補(bǔ)庫收益中位數(shù)-0.15%0.73%0.82%0.10%-0.21%0.78%-0.25%0.47%勝率33.33%66.67%66.67%50.00%33.33%83.33%33.33%83.33%盈虧比0.794.392.221.430.8410.311.620.79主動去庫收益均值-0.07%0.77%0.68%0.01%0.05%0.82%0.30%0.51%收益中位數(shù)-0.09%0.76%0.67%0.25%0.06%0.67%0.42%0.50%勝率37.50%87.50%75.00%62.50%62.50%100.00%87.50%87.50%盈虧比1.092.727.771.461.121.844.96收益均值0.27%0.02%-0.02%0.05%-0.04%0.27%0.51%0.48%被動去庫收益中位數(shù)0.05%0.25%0.36%-0.13%0.06%0.78%0.23%0.82%勝率80.00%60.00%60.00%40.00%60.00%80.00%100.00%80.00%盈虧比8.811.581.551.680.412.301.49數(shù)據(jù)來源：通聯(lián)，wind，貨幣信用周期下的紅利投資收益拆解++科技（TT、醫(yī)藥醫(yī)療、先進(jìn)制造板塊表現(xiàn)較優(yōu)；在緊貨幣+表22：不同貨幣信用周期下的中證紅利指數(shù)成分股分板塊相對表現(xiàn)-股息率加權(quán)庫存周期統(tǒng)計指標(biāo)先進(jìn)制造醫(yī)藥醫(yī)療周期消費科技（TMT）金融地產(chǎn)寬貨幣+寬信用收益均值0.29%0.94%-0.19%0.85%-0.57%0.36%收益中位數(shù)0.00%0.33%-0.07%0.05%-0.12%-0.03%勝率50.00%56.25%50.00%50.00%50.00%43.75%盈虧比0.921.491.051.680.912.39收益均值0.88%1.82%-0.26%-0.52%-0.77%-0.27%緊貨幣+寬信用收益中位數(shù)0.58%0.98%0.29%-0.06%-2.06%-0.21%勝率66.67%66.67%66.67%41.67%33.33%50.00%盈虧比1.664.490.361.052.040.40寬貨幣+緊信用收益均值0.72%0.73%-0.49%0.29%3.35%-1.22%收益中位數(shù)0.09%0.44%-0.38%-0.92%2.35%0.58%勝率50.00%50.00%41.67%33.33%75.00%58.33%盈虧比1.511.021.911.791.400.20收益均值1.19%-3.52%-0.57%1.00%-1.15%0.03%緊貨幣+緊信用收益中位數(shù)-0.29%-3.15%-0.56%2.06%-1.19%-0.43%勝率40.00%30.00%20.00%70.00%40.00%40.00%盈虧比4.280.550.790.921.941.67數(shù)據(jù)來源：wind，圖28：不同貨幣信用周期下的中證紅利指數(shù)成分股分板塊相對表現(xiàn)-股息率加權(quán)數(shù)據(jù)來源：wind，表23：不同貨幣信用周期下的中證紅利指數(shù)成分股分板塊相對表現(xiàn)-等權(quán)庫存周期統(tǒng)計指標(biāo)先進(jìn)制造醫(yī)藥醫(yī)療周期消費科技（TMT）金融地產(chǎn)寬貨幣+寬信用收益均值-0.46%0.36%-0.07%1.04%-0.37%0.22%收益中位數(shù)-0.50%0.50%-0.11%-0.24%-0.10%0.09%勝率37.50%56.25%37.50%43.75%43.75%56.25%盈虧比1.091.121.582.041.171.23收益均值1.29%1.80%-0.39%-0.05%-0.47%-0.42%緊貨幣+寬信用收益中位數(shù)1.04%1.09%-0.15%-0.09%-1.14%-0.10%勝率66.67%66.67%33.33%50.00%33.33%50.00%盈虧比6.759.210.551.192.360.36寬貨幣+緊信用收益均值0.68%0.44%-0.73%0.79%3.88%-1.48%收益中位數(shù)0.71%-0.72%-0.93%-0.31%2.45%1.01%勝率54.55%45.45%36.36%36.36%72.73%54.55%盈虧比1.721.081.751.881.930.23收益均值0.97%-2.83%-0.43%0.85%-0.24%-0.05%緊貨幣+緊信用收益中位數(shù)-0.10%-2.67%0.09%1.98%-0.82%-0.38%勝率50.00%30.00%60.00%70.00%40.00%40.00%盈虧比2.740.630.251.093.071.62數(shù)據(jù)來源：wind，圖29：不同貨幣信用周期下的中證紅利指數(shù)成分股分板塊相對表現(xiàn)-等權(quán)數(shù)據(jù)來源：wind，A++寬信T+（T、+表24：不同貨幣信用周期下的A股分板塊相對表現(xiàn)庫存周期統(tǒng)計指標(biāo)先進(jìn)制造醫(yī)藥醫(yī)療周期消費科技（TMT）金融地產(chǎn)寬貨幣+寬信用收益均值-0.15%0.15%-0.24%0.65%-0.50%0.47%收益中位數(shù)-0.10%0.36%-0.55%0.34%-0.60%0.31%勝率50.00%56.25%43.75%68.75%43.75%56.25%盈虧比0.791.090.711.061.301.21收益均值0.52%1.44%-0.64%-0.05%0.92%-0.32%緊貨幣+寬信用收益中位數(shù)0.20%0.78%-1.06%0.08%1.03%0.13%勝率66.67%75.00%33.33%50.00%66.67%58.33%盈虧比1.640.760.631.651.120.48寬貨幣+緊信用收益均值0.26%0.76%0.10%0.55%2.16%-1.11%收益中位數(shù)-0.35%-0.26%-0.49%0.24%1.11%1.05%勝率41.67%41.67%41.67%50.00%58.33%58.33%盈虧比3.542.492.000.902.840.25收益均值0.70%-0.60%0.25%0.57%-0.79%-0.27%緊貨幣+緊信用收益中位數(shù)-0.28%-0.45%0.04%0.43%-1.25%-0.40%勝率40.00%40.00%50.00%60.00%30.00%50.00%盈虧比2.120.480.981.291.311.40數(shù)據(jù)來源：wind，圖30：不同貨幣信用周期下的A股分板塊相對表現(xiàn)數(shù)據(jù)來源：wind，++緊信++A能力，而全A表25：不同貨幣信用周期下中證紅利成分各風(fēng)格表現(xiàn)-股息率加權(quán)貨幣信用周期統(tǒng)計指標(biāo)低Beta/高Beta小市值/大市值低估值/高估值高成長/低成長低杠桿/高杠桿低波動/高波動高盈利/低盈利高股息/低股息寬貨幣+寬信用收益均值0.37%0.55%0.63%-0.52%-0.88%0.63%0.48%0.80%收益中位數(shù)0.42%0.15%-0.64%0.09%-0.62%-0.15%-0.31%0.42%勝率57.89%52.63%42.11%57.89%36.84%42.11%47.37%63.16%盈虧比1.651.362.850.670.472.721.111.35寬貨幣+緊信用收益均值-0.34%1.80%1.05%0.14%0.07%0.46%-0.15%1.57%收益中位數(shù)-0.67%0.70%1.14%-0.05%0.57%1.19%0.53%2.01%勝率42.86%78.57%78.57%50.00%64.29%71.43%71.43%78.57%盈虧比1.451.521.651.270.391.060.231.62緊貨幣+寬信用收益均值-0.35%-0.19%0.15%0.98%-0.02%-0.35%0.06%-0.22%收益中位數(shù)-0.62%-0.49%0.77%0.78%-0.38%-0.69%0.23%-0.59%勝率46.15%46.15%53.85%69.23%30.77%46.15%53.85%38.46%盈虧比0.671.211.042.232.040.890.900.96緊貨幣+緊信用收益均值-0.03%-1.79%-0.36%1.22%1.23%0.30%0.45%-0.32%收益中位數(shù)0.38%-1.44%-0.03%1.51%0.96%0.12%0.58%0.35%勝率66.67%33.33%50.00%66.67%75.00%58.33%58.33%58.33%盈虧比0.540.371.211.321.961.311.210.78數(shù)據(jù)來源：通聯(lián)，wind，表26：不同貨幣信用周期下中證紅利成分各風(fēng)格表現(xiàn)-等權(quán)數(shù)據(jù)來源：通聯(lián)，wind，A+幣+++表27：不同貨幣信用周期下全部A股各風(fēng)格表現(xiàn)-等權(quán)貨幣信用周期統(tǒng)計指標(biāo)低Beta/高Beta小市值/大市值低估值/高估值高成長/低成長低杠桿/高杠桿低波動/高波動高盈利/低盈利高股息/低股息寬貨幣+寬信用收益均值-0.35%0.96%0.78%-0.08%-0.31%0.61%-0.16%0.45%收益中位數(shù)-0.08%1.37%0.46%0.18%-0.02%0.44%-0.14%0.11%勝率36.84%78.95%68.42%52.63%47.37%68.42%47.37%63.16%盈虧比0.781.201.830.990.671.891.071.93寬貨幣+緊信用收益均值0.53%1.41%0.80%-0.01%0.02%0.72%0.14%0.61%收益中位數(shù)0.23%1.09%1.44%-0.27%-0.50%0.95%-0.40%0.84%勝率57.14%64.29%64.29%42.86%42.86%64.29%42.86%71.43%盈虧比1.282.501.051.691.161.121.290.90緊貨幣+寬信用收益均值0.18%0.62%0.36%0.24%0.18%0.62%0.33%0.23%收益中位數(shù)-0.15%0.22%-0.01%0.42%0.26%0.52%0.48%0.14%勝率46.15%61.54%46.15%69.23%61.54%69.23%69.23%69.23%盈虧比1.292.673.780.940.881.581.641.65緊貨幣+緊信用收益均值0.11%-0.28%0.46%0.13%0.07%0.93%0.54%0.51%收益中位數(shù)0.09%0.61%0.78%-0.02%-0.15%1.10%0.67%0.58%勝率58.33%58.33%75.00%50.00%50.00%75.00%66.67%75.00%盈虧比2.620.661.341.901.112.111.962.06數(shù)據(jù)來源：通聯(lián)，wind，紅利投資的增強(qiáng)方案紅利投資的增強(qiáng)方案一中證紅利指數(shù)在編制時主要考慮股票的分紅特征，選取三年平均股息率最高且分紅穩(wěn)定的100只股票。本文認(rèn)為在進(jìn)行紅利投資時不僅僅需要考慮股票的分紅意愿特征，也需要考慮公司的分紅能力。所以本文的第一個增強(qiáng)方案為增加基本面增強(qiáng)的紅利精選組合。ROE/（2）TM3）SUE50501。組合參數(shù)如下：（1）測試區(qū)間：2016.1.29-2023.10.13；50只；年2019-1.26%圖31：紅利增強(qiáng)組合1凈值表現(xiàn)（2016.01-2023.10，雙邊千三）數(shù)據(jù)來源：wind,表28：紅利增強(qiáng)組合1業(yè)績表現(xiàn)（2016.01-2023.10，雙邊千三）年化收益年化波動夏普比率最大回撤卡瑪比率組合勝率盈虧比組合14.72%16.41%0.922.00%0.6760.22%1.51基準(zhǔn)10.08%16.81%0.627.08%0.37超額4.22%3.83%1.15.95%0.71數(shù)據(jù)來源：wind，證紅利全收益）wind全A）201624.60%22.04%2.57%30.11%-5.51%201724.34%證紅利全收益）wind全A）201624.60%22.04%2.57%30.11%-5.51%201724.34%21.34%3.00%-23.30%47.63%2018-7.79%-16.15%8.37%-27.90%20.11%201919.61%20.88%-1.26%25.65%-6.04%202011.86%8.18%3.68%5.87%6.00%202127.57%18.19%9.38%13.41%14.17%2022-0.01%-0.37%0.36%2.99%-3.00%202318.03%9.53%8.50%6.99%11.04%

全A 超額收益（相對數(shù)據(jù)來源：wind，紅利