A-Share High Win Rate Value Index Strategy Analysis Report

Based on an in-depth analysis of value index strategies in the A-Share market, high win rate value indices significantly improve the performance of traditional value investment strategies by introducing methods such as quality factors, volatility factors, and ROE screening. These strategic indices increase the win rate from 50-60% of traditional value indices to 70-90%, while achieving a better risk-return ratio [0].

• Pure Value Index
  : Win rate is only 50.7%, annualized return -0.24%, almost no excess return
• CSI 300 Value Stable
  : Win rate 71.8%, annualized return 18.48%
• Dividend Value Index
  : Win rate 80.3%, annualized return 16.23%
• CSI Value 100
  : Win rate 69.0%, annualized return 5.75%
• Huazheng Value Preferred 50
  : Win rate 80.3%, annualized return 21.93%

• CSI 300 Value Stable
  : Sharpe ratio 1.44, best performance
• Huazheng Value Preferred 50
  : Sharpe ratio 1.43, closely followed
• Dividend Value Index
  : Sharpe ratio 1.35, excellent risk control
• CSI Value 100
  : Sharpe ratio 0.27, moderate level
• Pure Value Index
  : Sharpe ratio -0.15, poor performance

This indicates that strategic value indices can achieve higher excess returns while bearing unit risk.

: Filters out low-quality companies in value traps through financial quality indicators such as ROE, gross margin, and net margin

: Selects targets with relatively stable stock price volatility to reduce overall portfolio risk

: The Dividend Value Index provides better defensiveness in bear markets through high dividend screening

Simulated data from 2020-2025 shows [0]:

1. Huazheng Value Preferred 50
   : 21.93% annualized return, reflecting the advantages of the selected strategy
2. CSI 300 Value Stable
   : 18.48%, outstanding performance of the stable strategy
3. Dividend Value Index
   : 16.23%, continuous effectiveness of the dividend strategy
4. CSI Value 100
   : 5.75%, relatively conservative
5. Pure Value Index
   : -0.24%, failure of the traditional value strategy

• CSI 300 Value Stable
  : Maximum drawdown -21.4%, best risk control
• Dividend Value Index
  : Maximum drawdown -21.9%, strong defensiveness
• Huazheng Value Preferred 50
  : Maximum drawdown -31.5%, high returns accompanied by moderate risk
• CSI Value 100
  : Maximum drawdown -30.5%, moderate risk level
• Pure Value Index
  : Maximum drawdown -57.2%, extremely high risk

• CSI 300 Value Stable
  : Sortino ratio 2.60, excellent downside risk control
• Dividend Value Index
  : Sortino ratio 2.06, strong downside protection capability
• Huazheng Value Preferred 50
  : Sortino ratio 1.84, good performance
• CSI Value 100
  : Sortino ratio 0.39, moderate level
• Pure Value Index
  : Sortino ratio -0.27, excessively high downside risk

• Combines CSI 300 components, good liquidity
• High weight on quality factors, selects high-quality value stocks
• Strict volatility control, suitable for risk-averse investors

• High efficiency of value discovery for large-cap stocks
• Quality factors effectively avoid value traps
• Abundant liquidity, low transaction costs

• High dividend yield screening, stable cash flow
• Relatively sound corporate governance
• Strong defensiveness in bear markets

• Dividend yield provides a stable source of returns
• High dividend companies usually have healthy finances
• Significant compound interest effect

• Selects 50 high-quality value stocks
• Multi-dimensional quality assessment
• Dynamic adjustment mechanism

• Concentrated holdings, selects high-quality targets
• Strict entry criteria
• Regular position adjustment to maintain portfolio optimization

In a bull market, Huazheng Value Preferred 50 and CSI 300 Value Stable perform best, capturing market upside opportunities well while maintaining the margin of safety for value investment.

In a bear market, the Dividend Value Index performs relatively prominently, with the high dividend strategy providing better downside protection, and CSI 300 Value Stable also showing strong anti-drop properties.

In a volatile market, all strategic value indices outperform the pure value index, reflecting the adaptability advantage of multi-factor strategies.

: Recommended to allocate to CSI 300 Value Stable, with an annualized return of 18.48% and a maximum drawdown of only 21.4%

: Recommended to allocate to the Dividend Value Index, with an annualized return of 16.23% and a win rate of 80.3%

: Recommended to allocate to Huazheng Value Preferred 50, with an annualized return of 21.93% and an excellent risk-return ratio

Based on different risk preferences, the following allocation plans can be adopted:

• Conservative Portfolio
  : 60% CSI 300 Value Stable + 40% Dividend Value Index
• Balanced Portfolio
  : 40% Huazheng Value Preferred 50 + 30% CSI 300 Value Stable + 30% Dividend Value Index
• Active Portfolio
  : 60% Huazheng Value Preferred 50 + 40% Dividend Value Index

It is recommended to adjust dynamically based on market cycles and valuation levels:

• Moderately reduce positions when overvalued
• Increase allocation when undervalued
• Rebalance regularly to maintain target allocation

1. Value Trap Risk
   : Despite the introduction of quality factors, it is still necessary to be alert to companies with continuously deteriorating fundamentals

2. Market Style Switch Risk
   : Rotation between value and growth styles may affect short-term performance

3. Liquidity Risk
   : Some small and medium-cap value stocks have relatively poor liquidity

4. Policy Risk
   : Changes in regulatory policies may affect the valuation system of specific industries

High win rate value indices successfully improve the win rate and risk-return ratio of traditional value investment through multi-factor integration strategies. Strategic indices such as CSI 300 Value Stable, Dividend Value Index, and Huazheng Value Preferred 50 have shown significant advantages in different market environments, providing A-Share investors with more effective value investment tools.

The selection of specific strategies should be based on personal risk preferences, investment tenure, and market judgments, with reasonable allocation and dynamic adjustment to achieve long-term stable investment returns.

[0] Gilin API Data - A-Share Value Index Strategy Analysis and Simulated Data