谈及红利策略或者高股息，市场通常为其贴上「熊市防御」、「类债资产」、「低估值」等标签。对此，国盛策略张峻晓指出，高股息并非纯防御策略、是短久期资产、与低估值风格「相似但不同，波动率更低」。
2022红利指数王者归来，年初至今已逆势斩获超8%正收益，跑赢万得全A指数25个百分点。谈及红利策略或者高股息，市场通常为其贴上「熊市防御」、「类债资产」、「低估值」等标签，这些惯有印象是否属实？我们又该如何玩转高股息？
本篇红利攻略，我们将重点解决三个问题：第一，高股息策略的认知误区与定价逻辑；第二，自上而下看红利指数的择时；第三，选股角度如何强化高股息策略收益。
核心观点
（1）关于高股息，常见的几点片面误解：
其一，红利指数长期表现一般？——考虑分红再投资后投资价值凸显。红利指数长期表现看似一般，但若考虑分红再投资收益，则能跑赢多数宽基指数；且相比其他指数，红利指数的波动率更低、回撤更小，风险收益比更具吸引力。
其二，防御or进攻？——高股息并非纯防御策略。熊市防御印象更多源于高股息资产的低估值+低波动属性，但对于高股息占优而言，熊市环境既非充分也不必要，牛市及震荡市中，高股息资产同样可以获得超额收益。
其三，顺周期or逆周期？——高股息资产具备一定的顺周期性。高股息策略并非典型的经济下行期对冲策略，相反，多数高股息资产具备一定的顺周期性，周期制造与金融地产一直是高股息「核心圈」，高股息资产的行业属性更多以顺周期为主。
其四，高股息就是低估值吗？——相似但不同，波动率更低。长期以来，高股息与低估值风格趋势关联显著，相关系数甚至达到80%-90%，然而相较低估值风格，高股息走势更加稳健，长期低波动属性凸显。
其五，高股息是类债资产吗？——短久期资产可能更准确。尽管高分红是长期共性，但高股息的阶段性跑赢更多源于其行业属性，而此类资产的估值基础更多源自短期现金流折现，具备明显的短久期属性，所以利率上行期实则更为受益。
（2）高股息策略何时跑赢？
2010年以来，高股息跑赢阶段大致有10段，结合历史复盘大致可以梳理以下几点结论：
首先，对于高股息策略的逻辑，应明确两点：其一，高股息资产本质上是一类短久期资产，在利率上行期和低估值占优阶段才更加受益；其二，高股息策略的持续占优离不开权重行业自身的结构性行情，无论是宏观环境、业绩层面、还是赚钱效应，其实均指向金融地产或周期制造应具备阶段性优势。
其次，把握高股息占优行情，应重点关注以下几类环境的叠加：1）宏观层面，聚焦两类环境：一是PPI与PMI同时上行，且货币条件已边际收紧；二是PPI与PMI同时下行，且货币条件边际趋松。2）业绩层面，关注两类结构：一是全A盈利周期全面拐头向下；二是盈利周期上行但金融地产/周期制造相对占优。3）市场表现上，关注两类情形：一是市场大幅回调，「熊市」特征凸显；二是利率上行期的低估值风格占优阶段。
最后，长期视角下，A股高股息投资价值值得关注：一是分红再投资对长期投资回报的增厚效应不容忽视，二是高股息资产自身的低回撤、低波动属性也提升了其长期持有性价比。
（3）当前阶段，红利策略如何优中选优？
「高股息+基本面改善」或为更优解。鉴于历史经验，高股息策略的阶段性占优其实离不开高分红行业的风格占优，因此叠加了高股息和基本面特征的选股标准有望帮助我们在长期跑赢市场的同时兼顾低波动和低回撤。回测结果显示，「高股息+基本面改善」组合近年来持续跑赢中证红利指数，且相对于单独的基本面改善组合回撤更小，其中「高股息+基本面改善」20组合从2010年至今年化收益为14.81%，高于中证红利指数的3.50%。（内附高股息+基本面改善20组合名单）
以下为正文部分：
一、关于高股息，常见的几点认知误区
1.1 红利指数长期表现一般？——考虑分红再投资后投资价值凸显
红利指数长期表现看似一般，但若考虑分红再投资收益，红利指数在过去十余年能够跑赢绝大多数指数；且相比其他宽基指数，红利指数的波动率更低、回撤更小，风险收益比（Sharp比率）更具吸引力。
长期视角下，考虑分红再投资收益的红利策略跑赢绝大多数宽基指数。2010年以来，若单独观测中证红利指数，其实长期优势并不明显，但如果考虑分红再投资后，超额收益则已较为显著。2011年以来，中证红利、中证全指和沪深300的全收益累计收益率分别达到215.5%、124.2%和119.0%。具体将资本利得和分红再投资拆分来看，粗略采用年化视角回溯，那么分红再投资带来的年化收益率约4.7%，甚至已经高于资本利得的年化收益率3.1%，分红再投资是高股息策略获得长期超额收益的重要支撑。
其次，高股息策略的低回撤、低波动优势增加了长期配置价值，且夏普比率相对占优。从历史经验看，考虑到收益波动与最大回撤后，对比自2010年以来中证红利与各A股核心指数的收益波动率、最大回撤与夏普比率，中证红利指数表现占优，在获取收益的同时保持较低的波动率，且自2010年以来与2016年以来的最大回撤均最小，体现出高股息策略长期低波动与低回撤的比较优势，长期表现的夏普比率较为可观。
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1.2 防御or进攻？——高股息并非纯防御策略
高股息资产历来被冠以防御属性，其「稳定高股息+高安全边际」的特征是熊市期间资金的避险地。从高股息资产定义出发，一方面稳定高股息在一定程度上以「刚兑」属性对冲资本利得损失，另一方面相对低估值与低波动属性也赋予了高股息策略相对较低的潜在回撤幅度，因此逻辑上给予了高股息策略较强的「防御属性」。
但高股息策略并非单纯的防御策略，除了熊市期间低波动、低回撤特征外，红利指数在很多其他市场环境下也能获取超额收益。结合历史经验看，2015-2016年、2018年及近期市场大幅回撤阶段，中证红利指数的确均获得较为明显的超额收益，「防御」属性尽显。然而，除此之外，2009年、2011年、2014年、2017年、2020年和2021年均上演过高股息资产跑赢行情，且持续时长同样值得参与。此外，在 2012年的震荡下挫格局下，高股息策略更是基本失效，因此，熊市环境对高股息策略而言，既非充分也不必要，牛市及震荡市中，高股息资产同样可以获得超额收益。
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1.3 顺周期or逆周期？——高股息资产具备一定的顺周期性
红利指数构成中，周期制造是大头，占比始终维持在50%以上，其次才是金融地产。以中证红利指数成分股为考察样本，所谓的高股息标的长期集中于周期制造板块，2008年比重曾一度达到77%。但高股息资产并非一成不变，伴随A股的扩容与丰富，周期制造的比重呈现趋势性回落，金融地产比重则稳步提升，现已从早期的7%抬升至25%，而消费医药与科技成长板块的占比则相对稳定且长期处于低位。 下沉到行业层面，早期高股息资产多集中于交运、钢铁、煤炭、化工、汽车和公用事业等行业，随后银行、地产权重逐步抬升，交运、化工、钢铁等权重则逐步回落。截至2021年底，中证红利前五大权重行业分别为房地产、银行、煤炭、交运和汽车。
因此，高股息策略并非典型的经济下行期对冲策略，相反，多数高股息资产具备一定的顺周期性。总结而言，尽管高股息资产行业分布结构有所调整，但周期制造与金融地产一直是高股息「核心圈」，高股息资产本身的行业属性更多以顺周期为主，所谓的逆周期固有印象，更多源于高股息在经济下行带动的熊市中更具防御属性。
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1.4 高股息就是低估值吗？——相似但不同，波动率更低
长期以来，高股息与低估值风格在趋势上有非常高的相关性。对比低市盈率、低市净率和中证红利的相对收益走势，三者趋势关联一直较为显著，2010年以来低PE、低PB风格超额收益与中证红利超额收益的关联度更是分别达到90.8%和81.8%。这一特点其实在中证红利的选股标准中就可见一斑，由于「股息率=每股股利/收盘价」还可以进一步加工为「股息率=分红率/市盈率」，相对低估值也就成为高股息资产的天然属性，因此高股息跑赢的内核就在一定程度上反映出市场对低估值资产的增持。
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然而，高股息与低估值虽相似但不同，高股息的低波动属性更为突出。历史经验看，波动率是高股息与低估值两类风格的主要区别，常态化阶段二者相关性基本保持在90%以上，而阶段性的相关性回落普遍源于低估值风格的超额波动。同时，相较高/低估值风格切换的高波动而言，高股息走势更加稳健，低估值趋势占优阶段，高股息本身其实普遍难以跑赢低估值，但低估值明显跑输阶段，高股息的相对收益则更为抗跌，长期低波动属性凸显。
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1.5 高股息是类债资产吗？——短久期资产可能更准确
理论上，稳定高股息直接对标债券生息，利率下行应推升高股息资产配置性价比。类债属性的判断主要源于高股息资产能够提供稳定的现金分红，直接对标债券资产提供稳定利息回报，因而在利率趋势下行阶段，具备高「利息」的高股息资产也应更具吸引力，而利率上行阶段，高股息资产的性价比相应的也应明显趋弱，债券性价比反而较高。
然而，利率下行期高股息跑赢的概率并不高，反而利率上行更有利于高股息策略跑赢。结合历史经验，高股息策略获得超额收益的阶段与长端利率关联并不高，高股息策略在2009年、2012年-2013年、2016年、2017年和2020年等多个区间均表现占优，但长端利率均处于上行阶段，因此单纯从股息对标利息出发的类债认知同样稍显片面。
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我们认为，相较类债资产的定义，将高股息资产视为短久期资产可能更为准确。尽管高分红是高股息资产的长期共性，但高股息行情的阶段性跑赢更多源于其行业属性，即周期制造和金融地产的行业特点，而此类资产除经济大幅波动阶段外，估值基础更多源自短期现金流折现，相较科技成长类资产，具备明显的短久期属性，所以利率上行期实则更加受益。以2010年以来经验看，无论是收益还是胜率，无论是绝对水平还是相对水平，高股息在利率上行期的表现均优于利率下行期。
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二、高股息策略何时跑赢？
高股息跑赢阶段如何定义？以中证红利指数为参照，综合绝对收益和相对收益，同时兼顾区间持续时长（不短于一个月），筛选中证红利指数收涨且跑赢万得全A的区间，将之定义为高股息跑赢阶段，那么2010年以来此类区间大致有10段：
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纵观历次高股息跑赢阶段，大致存在以下几点特征：
其一，风格上，普遍伴随着金融地产与周期制造占优的结构性行情。对比多轮高股息跑赢阶段，市场风格普遍会偏向金融地产或周期制造，科技成长往往表现普遍较差，消费医药仅在2021年2-4月相对占优。同时结合阶段优势行业分布看，银行、地产、煤炭、钢铁等高分红行业的相对占优均是当期高股息策略相对占优的重要支撑。因此，市场风格是否有利于金融地产或周期制造，将是把握高股息行情的重要线索。
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其二，业绩视角下，多处于盈利下行期或「金融地产+周期制造」占优的盈利上行期。结合全A业绩增速可以将业绩周期划分为盈利上行期/下行期，同时结合不同板块的业绩增速估算，也可将业绩结构纳入观测。历史经验表明，高股息跑赢阶段往往存在于两类环境之下，一是当全A业绩步入盈利下行阶段，市场对于高增速的挖掘预期转弱，相对稳定的高分红的资产开始受到关注；二是当全A业绩处于上行阶段，且金融地产或周期制造呈现更高的业绩增速，进而导致追逐高增速与高股息资产的不谋而和。
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其三，宏观环境上，「PPI-PMI同下+宽货币」与「PPI-PMI同上+紧货币」更利于高股息占优。结合PMI-PPI、货币-信用视角看，多数高股息跑赢阶段往往均面临两类环境组合，即「PPI同比下行+PMI下行+宽货币」或者「PPI同比上行+PMI上行+紧货币」，而两类组合背后其实也大致对应了金融地产和周期制造相对占优的两类宏观环境：当PPI同比与PMI同步下行，其实处于明显的「类衰退」阶段，而相应的宽货币其实已经反应出政策托底呵护经济的信号，因此金融地产将率先反映经济见底企稳的预期，进而催化金融地产相对占优的市场主线风格；当PPI同比与PMI同步上行，意味着经济持续向好，但量价齐升也意味着通胀压力的显现，叠加货币的边际收紧，也意味着政策开始应对潜在的通胀，此时科技板块将率先承压，消费板块若无CPI上行的支撑反而将受制于成本压力，而上游资源将充分受益于大宗涨价逻辑，进而导致市场主线偏向周期制造。
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总结而言，结合高股息策略跑赢的历史经验，大致可以归纳以下几点结论：
首先，对于高股息策略的逻辑，应明确两点：其一，高股息资产本质上是一类短久期资产，在利率上行期和低估值占优阶段才更加受益；其二，高股息策略的持续占优离不开权重行业自身的结构性行情，无论是宏观环境、业绩层面、还是赚钱效应，其实均指向金融地产或周期制造应具备阶段性优势。
其次，把握高股息占优行情，应重点关注以下几类环境的叠加：1）宏观层面，聚焦两类环境：一是PPI与PMI同时上行，且货币条件已边际收紧；二是PPI与PMI同时下行，且货币条件边际趋松。2）业绩层面，关注两类结构：一是全A盈利周期全面拐头向下；二是盈利周期上行但金融地产/周期制造相对占优。3）市场表现上，关注两类情形：一是市场大幅回调，「熊市」特征凸显；二是利率上行期的低估值风格占优阶段。
最后，长期视角下，A股高股息投资价值值得关注：一是分红再投资对长期投资回报的增厚效应不容忽视，二是高股息资产自身的低回撤、低波动属性也提升了其长期持有性价比。
三、当前阶段，红利策略如何优中选优？
当前阶段，对于红利策略我们推荐「高股息+预期改善」的选股逻辑。鉴于历史经验，高股息策略的阶段性占优其实离不开高分红行业的风格占优，因此叠加了高股息和基本面特征的选股标准有望帮助我们在长期跑赢市场的同时兼顾低波动和低回撤。
「高股息+预期改善」组合定义：
1）对于基本面预期改善，重点关注两个维度，「业绩超预期」与「分析师盈利预测修正」，其一，对于业绩超预期而言，在前期报告《构建超预期组合：基于业绩+量价的选股策略》（20210906）中，我们基于历史业绩与量价信号两种维度来刻画公司业绩超预期，此处沿用超预期的定义，作为公司基本面改善的筛选条件之一。其二，对于分析师盈利预测修正而言，在前期报告《分析师如何帮我们预测经济&战胜市场？》（20220403），我们指出分析师盈利预测修正指标（MAF）可以反映公司盈利预期边际变化。简要而言，如果分析师在某一时点上调（或下调）公司的盈利预测，则有理由相信该分析师捕捉到了影响公司远期业绩的新信息，而上调（或下调）的幅度可以反映出基本面预期边际变化的程度。因此，我们选择MAF指标作为另一个基本面改善的筛选条件，即：本期分析师进行下调盈利的次数为0，且上调盈利的次数占比在90%以上。总结而言，基本面改善的构建方式为：以「业绩超预期」条件为主，「分析师盈利预测修正」条件为辅，当「业绩超预期」的选出的股票数量较少时，以「分析师盈利预测修正」筛选的股票进行递补。
2）对于高股息筛选，我们选择近12个月股息率在3%以上的公司；
3）对于组合的成分股，在每期期初选取前20只或40只高股息率的基本面改善个股，构成当期投资组合，分别定义为「基本面改善+高股息」20组合和「基本面改善+高股息」40组合。
回测结果显示，「高股息+基本面改善」组合近年来持续跑赢中证红利指数，且相对于单独的基本面改善组合回撤更小。无论是从年度收益还是月度收益来看，「基本面改善+高股息」组合明显优于中证红利指数，其中，「高股息+基本面改善」20组合从2010年至今年化收益为14.81%，高于中证红利指数的3.50%。另外，相对于单纯的基本面选股方法而言，「高股息+基本面改善」组合回撤更小，2016年2月以来回撤可控制在-24%以内，而「业绩超预期」组合回撤可达-34%，「分析师盈利预测修正」组合回撤可达-30%。
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风险提示
1、宏观经济超预期波动；2、历史经验可比性不足；3、统计模型误差。
Authors: Zhang Junxiao, Wang Chengjin,
Source: strategy theory
When it comes to dividend strategies or high dividends, the market usually labels them as "bear market defense", "debt-like assets", "low valuation" and so on. In this regard, Guosheng strategy Zhang Junxiao pointed out that high dividend is not a pure defense strategy, is a short-term asset, and undervalued style is "similar but different, volatility is lower."
The return of the king of the 2022 dividend index has reversed the trend so far this year and achieved a positive income of more than 8%, outperforming the Wande all-An index by 25 percentage points. When it comes to dividend strategies or high dividends, the market usually labels them as "bear market defense", "debt-like assets" and "low valuations". Is it true that these habitual impressions are true? How can we play with higher dividends?
In this dividend strategy, we will focus on three problems: first, the cognitive misunderstanding and pricing logic of the high dividend strategy; second, the timing of the dividend index from the top down; and third, how to strengthen the returns of the high dividend strategy from the perspective of stock selection.
Core viewpoints
(1) A few common one-sided misunderstandings about high dividends:
First, the long-term performance of the dividend index is average. -- the investment value will be highlighted after considering the dividend reinvestment. The long-term performance of the dividend index looks mediocre, but if the dividend reinvestment income is taken into account, it can outperform most broad-based indices; and compared with other indexes, the volatility of the dividend index is lower, the pullback is smaller, and the risk-return ratio is more attractive.
Second, defend against or attack? High dividends are not purely defensive strategies. The impression of bear market defense comes more from the low valuation + low volatility attribute of high dividend assets, but for the dominance of high dividend, the bear market environment is neither sufficient nor necessary. In bull market and shock market, high dividend assets can also get excess returns.
Third, pro-periodic or counter-periodic? High dividend assets are pro-cyclical to a certain extent. High dividend strategy is not a typical economic downside hedging strategy. on the contrary, most high dividend assets have certain pro-cyclicality, cyclical manufacturing and financial real estate have always been the "core circle" of high dividend. The industry attribute of high dividend assets is more pro-cyclical.
Fourth, is a high dividend a low valuation? -- similar but different, with lower volatility. For a long time, there has been a significant correlation between high dividend and undervalued style trend, and the correlation coefficient has even reached 80%, 90%. However, compared with undervalued style, the trend of high dividend is more robust, and the long-term low volatility attribute is prominent.
Fifth, is high dividend a debt asset? Short-term assets may be more accurate. Although high dividends are long-term commonalities, the periodic outperformance of high dividends is more due to their industry attributes, while the valuation basis of such assets is more from discounted short-term cash flow and has obvious short-term properties. so the upward period of interest rates is actually more beneficial.
(2) when will the high dividend strategy win?
Since 2010, there have been 10 stages of high dividend outperformance. Combined with a historical review, we can roughly sort out the following conclusions:
First of all, for the logic of high dividend strategy, two points should be made clear: first, high dividend assets are essentially a kind of short-term assets, which benefit more in the period of rising interest rates and the dominant stage of low valuation; second, the continuous dominance of high dividend strategy is inseparable from the structural market of the weighted industry itself, whether it is the macro environment, performance level, or money-making effect, in fact, it all points to the phased advantages of financial real estate or periodic manufacturing.
Secondly, in order to grasp the dominant market of high dividend, we should focus on the superposition of the following types of environment: 1) at the macro level, focus on two types of environment: one is that PPI and PMI go up at the same time, and the monetary conditions have been tightened; the other is that PPI and PMI go down at the same time, and the monetary conditions tend to be looser. 2) at the performance level, focus on two types of structures: one is the overall downward turn of the full A profit cycle, and the other is the upward profit cycle but relatively dominant financial real estate / cycle manufacturing. 3) in terms of market performance, we should pay attention to two kinds of situations: one is the sharp correction of the market, the characteristic of "bear market" is prominent; the other is the dominant undervalued style in the upward period of interest rates.
Finally, from a long-term perspective, the high dividend investment value of A shares is worth paying attention to: first, the thickening effect of dividend reinvestment on long-term investment returns can not be ignored; second, the low withdrawal and low volatility of high dividend assets also improve their long-term holding performance-to-price ratio.
(3) at the current stage, how to choose the best dividend strategy?
"High dividend + fundamental improvement" may be a better solution. In view of historical experience, the phased dominance of the high dividend strategy is inseparable from the style dominance of the high dividend industry, so the stock selection criteria superimposed with high dividends and fundamentals are expected to help us to outperform the market for a long time while giving consideration to low volatility and low pullback. The return test results show that the "high dividend + fundamental improvement" combination has consistently outperformed the CSI dividend index in recent years, and withdrew less than the individual fundamental improvement portfolio. Among them, the "high dividend + fundamental improvement" 20 combination earned 14.81% from 2010 to this year, higher than 3.50% of the CSI dividend index. (includes a list of 20 combinations of high dividend + fundamental improvement)
The following is the body:
1. Some common misunderstandings about high dividends
1.1 long-term average performance of dividend index? -- highlight the investment value after considering the dividend reinvestment
The long-term performance of the dividend index looks mediocre, but if the dividend reinvestment income is taken into account, the dividend index has been able to outperform most indices in the past decade; and compared with other broad-based indices, the dividend index has lower volatility, less pullback, and more attractive risk-return ratio (Sharp ratio).
From a long-term perspective, the dividend strategy considering dividend reinvestment income outperforms most broad-based indices. Since 2010, if we observe the CSI dividend index alone, the long-term advantage is not obvious, but if we consider the dividend reinvestment, the excess return is already more significant. Since 2011, the cumulative returns of CSI dividend, CSI and CSI 300 have reached 215.5%, 124.2% and 119.0%, respectively. From the perspective of the separation of capital gains and dividend reinvestment, looking back roughly from an annualized perspective, the annualized rate of return of dividend reinvestment is about 4.7%, which is even higher than the annualized rate of return of 3.1% of capital gains. Dividend reinvestment is an important support for high dividend strategies to obtain long-term excess returns.
Secondly, the advantage of low withdrawal and low volatility of the high dividend strategy increases the long-term allocation value, and the Sharpe ratio is relatively dominant. From historical experience, taking into account the earnings volatility and the maximum pullback, compared with the earnings volatility and the maximum pullback ratio of the CSI dividend and the A-share core index since 2010, the CSI dividend index is dominant. While earning income, it maintains a low volatility, and the maximum pullback since 2010 and 2016 is the smallest, reflecting the long-term comparative advantages of low volatility and low pullback of the high dividend strategy. The Sharp ratio of long-term performance is considerable.
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1.2 defend against or attack? High dividend is not a pure defense strategy.
High dividend assets have always been labeled as defensive attributes, and their "stable high dividend + high margin of safety" is the safe haven of funds during the bear market. Starting from the definition of high dividend assets, on the one hand, the stable high dividend hedges the loss of capital gains with the "just exchange" attribute to a certain extent, on the other hand, the relatively low valuation and low volatility attributes also give the high dividend strategy a relatively low potential pullback range, so it logically gives the high dividend strategy a strong "defensive attribute".
However, the high dividend strategy is not a simple defense strategy. In addition to the characteristics of low volatility and low pullback during the bear market, the dividend index can also obtain excess returns in many other market environments. Combined with historical experience, during the period from 2015 to 2016, 2018 and the recent sharp market pullback, the CSI dividend index has indeed achieved relatively obvious excess returns, and the "defense" attribute is obvious. In addition, however, excessive dividend assets outperformed in 2009, 2011, 2014, 2017, 2020 and 2021, and the duration is also worth participating. In addition, in the pattern of shock and decline in 2012, the high dividend strategy is basically ineffective, so the bear market environment is neither sufficient nor necessary for the high dividend strategy. High dividend assets can also obtain excess returns in bull markets and volatile markets.
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1.3 pro-cyclical or counter-cyclical? -- High dividend assets are pro-cyclical to a certain extent
In the composition of the dividend index, cyclical manufacturing is the largest, accounting for more than 50%, followed by financial and real estate. Taking the constituent stocks of the CSI dividend index as the sample, the so-called high dividend targets have long been concentrated in the cyclical manufacturing sector, and the proportion once reached 77% in 2008. However, high dividend assets are not static. With the expansion and enrichment of A-shares, the proportion of cyclical manufacturing shows a trend to decline, while the proportion of financial and real estate has steadily increased from 7% to 25%. On the other hand, the proportion of consumer medicine and technology growth sector is relatively stable and long-term low. Sinking to the industry level, early high dividend assets were mostly concentrated in transportation, iron and steel, coal, chemical, automotive and public utilities and other industries, and then the weight of bank and land property rights gradually rose, while the weights of transportation, chemical industry and iron and steel gradually decreased. By the end of 2021, the top five weighted sectors of China Securities dividend are real estate, banking, coal, transportation and automobile.
Therefore, the high dividend strategy is not a typical economic downside hedging strategy, on the contrary, most high dividend assets have a certain pro-cyclical nature. To sum up, although the industry distribution structure of high dividend assets has been adjusted, cyclical manufacturing and financial real estate have always been the "core circle" of high dividends, and the industry attributes of high dividend assets are more pro-cyclical, and the so-called countercyclical inherent impression is more due to the fact that high dividends are more defensive in the bear market driven by the economic downturn.
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1.4 is a high dividend a low valuation? Similar but different, with lower volatility
For a long time, there has been a very high correlation between high dividend and undervalued style. Compared with the relative earnings trends of low price-to-earnings ratio, low price-to-book ratio and CSI dividend, the correlation between the three trends has been more significant. Since 2010, the correlation between low PE, low PB style excess earnings and CSI dividend excess returns has reached 90.8% and 81.8%, respectively. In fact, this characteristic can be seen in the stock selection criteria of CSI dividends, because "dividend ratio = dividend / closing price per share" can be further processed into "dividend ratio = dividend ratio / price-earnings ratio". Relatively low valuation has become a natural attribute of high dividend assets, so the core of high dividend outperformance reflects the market's increased holdings of low-valued assets to a certain extent.
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However, although the high dividend and the undervalued are similar but different, the low volatility attribute of the high dividend is more prominent. According to historical experience, volatility is the main difference between high dividend and undervalued styles. In the normalization stage, the correlation between the two is basically more than 90%, while the phased correlation decline is generally due to the excess fluctuation of undervalued style. At the same time, compared with the high volatility of high / undervalued style switching, the trend of high dividend is more robust, and the trend of undervaluation is dominant, the high dividend itself is generally difficult to outperform the low valuation, but the undervaluation obviously loses the stage. the relative return of high dividend is more resistant, and the attribute of long-term low volatility is highlighted.
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1.5 is high dividend a debt asset? Short-term assets may be more accurate
In theory, stable high dividends generate interest directly against benchmark bonds, and the downward interest rate should increase the performance-to-price ratio of dividend asset allocation. The judgment of the nature of debt is mainly due to the fact that high dividend assets can provide stable cash dividends and stable interest returns directly to benchmark bond assets, so in the downward stage of interest rate trend, high dividend assets with high "interest" should also be more attractive. in the interest rate upward stage, the performance-to-price ratio of high-dividend assets should also be obviously weaker, while the bond performance-to-price ratio should be higher.
However, the probability of high dividend winning in the interest rate downward period is not high, on the contrary, the upward interest rate is more conducive to the high dividend strategy to win. Combined with historical experience, the relationship between the excess return of high dividend strategy and long-end interest rate is not high, and the high dividend strategy is dominant in 2009, 2012-2013, 2016, 2017 and 2020, but the long-end interest rate is in the upward stage, so the cognition of debt based on dividend interest is also a little one-sided.
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We believe that it may be more accurate to regard high dividend assets as short-term assets than the definition of debt-like assets. Although high dividend is the long-term commonness of high dividend assets, the periodic outperformance of high dividend market is more due to its industry attributes, that is, the industry characteristics of cyclical manufacturing and financial real estate, and this kind of assets, in addition to large fluctuations in the economy, the valuation basis is more from the discounted short-term cash flow, which has obvious short-term attributes compared with technological growth assets, so the upward period of interest rates is actually more beneficial. According to the experience since 2010, no matter the income or the winning rate, whether the absolute level or the relative level, the performance of high dividend in the interest rate upward period is better than that in the interest rate downside period.
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Second, when will the high dividend strategy win?
How to define the stage of high dividend outperformance? Taking the CSI dividend index as a reference, combining absolute and relative returns, and taking into account the duration of the interval (not less than one month), the range in which the CSI rose and outperformed Wande A was defined as the stage of high dividend outperformance, so there are roughly 10 segments in this range since 2010:
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Throughout the previous outperformance stages of high dividends, there are roughly the following characteristics:
First, in style, it is generally accompanied by financial real estate and cyclical manufacturing dominant structural market. Compared with the outperformance stage of many rounds of high dividends, the market style is generally biased towards financial real estate or cyclical manufacturing, the growth of science and technology is generally poor, and consumer medicine is relatively dominant only in February-April 2021. At the same time, combined with the distribution of dominant industries in the stage, the relative dominance of banks, real estate, coal, iron and steel and other high dividend industries is an important support for the relative dominance of the current high dividend strategy. Therefore, whether the market style is conducive to financial real estate or cycle manufacturing will be an important clue to grasp the high dividend market.
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Second, from the perspective of performance, most of them are in the profit downward period or the profit upward period dominated by "financial real estate + cycle manufacturing". Combined with the all-A performance growth rate, the performance cycle can be divided into profit upward period / downward period, and combined with the performance growth rate estimation of different sectors, the performance structure can also be included in the observation. Historical experience shows that the high dividend outperformance stage often exists in two kinds of environments: one is that when the all-A performance enters the profit downward stage, the market expectation for high growth weakens, and the relatively stable assets with high dividends begin to receive attention; second, when the all-A performance is in the upward stage, and the financial real estate or cycle manufacturing shows a higher performance growth rate, which leads to the pursuit of high growth and high dividend assets.
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Third, in the macro environment, "PPI-PMI + broad currency" and "PPI-PMI ditto + tight currency" are more conducive to the dominance of high dividends. From the perspective of PMI-PPI and currency-credit, most outperformance stages of high dividends are often faced with two types of environmental combinations, namely, "PPI year-on-year downside + PMI downside + broad currency" or "PPI year-on-year upside + PMI uplink + tight currency". In fact, behind the two combinations also roughly correspond to two kinds of relatively dominant macro environments of financial real estate and cyclical manufacturing: when PPI goes down synchronously with PMI, it is actually in an obvious "quasi-recession" stage. In fact, the corresponding broad currency has already reflected the signal that the policy underpins and protects the economy, so the financial real estate will be the first to reflect the expectation that the economy will bottom out and stabilize, and then catalyze the relatively dominant main line style of the financial real estate market. When PPI rises synchronously with PMI, it means that the economy continues to improve, but the rise in volume and price also means the appearance of inflationary pressure, and the marginal tightening of superimposed currency also means that policy begins to deal with potential inflation, at this time the technology sector will take the lead in the pressure, the consumer sector without the support of CPI uplink will be subject to cost pressure, while upstream resources will fully benefit from the logic of bulk price increases, which will lead to cyclical manufacturing of the market main line.
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To sum up, combined with the historical experience of high dividend strategy, the following conclusions can be drawn:
First of all, for the logic of high dividend strategy, two points should be made clear: first, high dividend assets are essentially a kind of short-term assets, which benefit more in the period of rising interest rates and the dominant stage of low valuation; second, the continuous dominance of high dividend strategy is inseparable from the structural market of the weighted industry itself, whether it is the macro environment, performance level, or money-making effect, in fact, it all points to the phased advantages of financial real estate or periodic manufacturing.
Secondly, in order to grasp the dominant market of high dividend, we should focus on the superposition of the following types of environment: 1) at the macro level, focus on two types of environment: one is that PPI and PMI go up at the same time, and the monetary conditions have been tightened; the other is that PPI and PMI go down at the same time, and the monetary conditions tend to be looser. 2) at the performance level, focus on two types of structures: one is the overall downward turn of the full A profit cycle, and the other is the upward profit cycle but relatively dominant financial real estate / cycle manufacturing. 3) in terms of market performance, we should pay attention to two kinds of situations: one is the sharp correction of the market, the characteristic of "bear market" is prominent; the other is the dominant undervalued style in the upward period of interest rates.
Finally, from a long-term perspective, the high dividend investment value of A shares is worth paying attention to: first, the thickening effect of dividend reinvestment on long-term investment returns can not be ignored; second, the low withdrawal and low volatility of high dividend assets also improve their long-term holding performance-to-price ratio.
Third, at the current stage, how to choose the best dividend strategy?
At the current stage, we recommend the stock selection logic of "high dividend + expected improvement" for dividend strategy. In view of historical experience, the phased dominance of the high dividend strategy is inseparable from the style dominance of the high dividend industry, so the stock selection criteria superimposed with high dividends and fundamentals are expected to help us to outperform the market for a long time while giving consideration to low volatility and low pullback.
The definition of "high dividend + expected improvement" combination:
1) for the improvement of fundamental expectations, we focus on two dimensions, "performance exceeding expectations" and "revision of analysts' earnings forecasts". First, for better-than-expected performance, in the previous report, "Building a better-than-expected portfolio: stock selection Strategy based on performance + Volume Price" (20210906), we describe the company's performance exceeding expectations based on historical performance and volume-price signals. the definition of exceeding expectations is used here. As one of the screening conditions for the improvement of the company's fundamentals. Second, for the revision of analysts' earnings forecasts, in the early report "how can analysts help us predict the economy & beat the market?" "(20220403), we point out that the revised analyst earnings Forecast (MAF) can reflect the marginal changes in corporate earnings expectations. In short, if an analyst raises (or downgrades) the company's earnings forecast at some point, there is reason to believe that the analyst has captured new information affecting the company's long-term performance. the extent of the upward (or downward) increase (or downgrade) can reflect the extent of marginal changes in fundamental expectations. Therefore, we choose the MAF index as another screening condition for fundamental improvement, that is, the number of earnings cuts made by analysts in this period is 0, and the proportion of earnings increases is more than 90%. To sum up, the construction of fundamental improvement is mainly based on the condition of "performance exceeding expectations", supplemented by the condition of "revision of analysts' earnings forecasts", and when the number of stocks selected for "performance exceeding expectations" is small, the stocks selected by the "analyst earnings Forecast revision" are used for replacement.
2) for high dividend screening, we choose companies with a dividend yield of more than 3% in the past 12 months.
3) for the constituent stocks of the portfolio, the first 20 or 40 stocks with high dividend yield are selected at the beginning of each period to form the current investment portfolio, which are defined as "fundamental improvement + high dividend" 20 combination and "fundamental improvement + high dividend" 40 combination respectively.
The return test results show that the "high dividend + fundamental improvement" combination has consistently outperformed the CSI dividend index in recent years, and the withdrawal is smaller than that of the separate fundamental improvement portfolio. No matter in terms of annual or monthly earnings, the combination of "fundamental improvement + high dividend" is significantly better than the CSI dividend index. Among them, the "high dividend + fundamental improvement" 20 combination has an annual income of 14.81% from 2010 to this year, which is higher than 3.50% of the CSI dividend index. In addition, compared with the simple fundamental stock selection method, the withdrawal of the "high dividend + fundamental improvement" portfolio is smaller, and the pullback since February 2016 can be controlled within-24%. The "performance better than expected" portfolio can withdraw by-34%, and the "analyst earnings Forecast revision" portfolio can withdraw by-30%.
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Risk hint
1. Higher-than-expected fluctuation of macro-economy; 2. Lack of historical experience comparability; 3. Statistical model error.
