20250604-东吴证券-金工定期报告_预期高股息组合跟踪_10页_540kb

Summary of Expected Dividend Yield Portfolio Analysis

The report details the Dong Wu Jin Gong expected dividend yield portfolio, which is constructed using a two-phase expected dividend yield indicator. Selection criteria involve dividend announcements, historical data, and filters like the reverse and profit factors, with 30 stocks weighted equally and rebalanced monthly.

• Performance in May 2025: The portfolio achieved an average stock return of 390%, outperforming the CSI 300 Index by 269% and the CSI Dividend Index by 230%.
• June 2025 Holdings: Comprises 30 stocks, each with a 33.33% weighting, across various sectors including banking, materials, and consumer goods; no changes noted in stock selection compared to May, except for rebalancing.
• Risk: The model relies on historical data, and future market changes could impact performance.
• Additional Notes: The portfolio aims to track high-dividend stocks in the CSI 300 index, with historical backtesting showing strong excess returns, but disclaimer content applies.}