Analysis of A-Shares High-Winning Rate Value Indices and Market Environment Adaptation Strategies

**1. Review of Overall Performance of A-Shares “High-Winning Rate Value Indices”

Several representative value-style indices reviewed in this article—Xinhua Zhongchengxin Dividend Value, Huazheng Value Optimal 50, CSI Value 100, and CSI Smart Selection 300 Value Stable—show relatively consistent robustness in dimensions such as “winning rate, cumulative return, volatility, and maximum drawdown”. Taking a 10-year observation window, the “winning rate” of Xinhua Zhongchengxin Dividend Value and Huazheng Value Optimal 50 reaches approximately 80%, while CSI Value 100 is as high as 90%, indicating positive returns in most annual or phased cycles; at the same time, these strategies effectively reduce maximum drawdown and maintain return volatility below market levels by strengthening value and dividend selection and controlling volatility. Overall, the high winning rate of these indices stems from fixed value screening logic, diversified but stable portfolio construction, and volatility smoothing effects from medium- and long-term rebalancing [1].

**2. Factor Combinations: Paths to Optimize Risk-Adjusted Returns in Different Market Environments

1. Volatile or Pullback Environment (Defensive): Value + Quality + Low Volatility Portfolio
   • Taking dividend/value indices (Xinhua Zhongchengxin Dividend, Huazheng Value Optimal 50) as examples, the core lies in dual value screening (low valuation + high dividend) + quality thresholds (ROE, ROA) + dynamic constraints of low volatility factors, enabling the portfolio to have inherent “defensiveness” in downward phases:
     • Value factors provide a valuation safety margin;
     • Quality factors filter out fundamental deterioration risks;
     • Low volatility factors reduce portfolio standard deviation, helping to maintain high winning rates and narrow maximum drawdowns;
   • In such environments, you can increase allocation to large- and medium-cap leaders with relatively low cyclical correlation, and maintain factor exposure through monthly/quarterly rebalancing. This portfolio is also suitable for hedging needs when capital market liquidity is tight or macro uncertainty is high.

2. Trending or Uptrend Cycle (Offensive): Value + Quality + Momentum/Earnings Recovery Overlay
   • CSI Value 100 reflects the advantages of “value + quality + momentum” overlay in markets with an overall upward trend. Momentum factors capture stocks with recent strong valuation repair and earnings improvement, driving the index to achieve higher cumulative returns in bull markets; while maintaining quality bottom lines to avoid “value traps”;
   • In addition, you can introduce “earnings recovery” or “earnings expectation revision” factors, which are strengthened during earnings seasons or policy signals;
   • The portfolio rebalancing frequency can be moderately increased (e.g., quarterly) to capture the new momentum factor weight after trend reversals.

3. Rotation/Sideways Environment: Multi-Factor + Multi-Strategy Overlay, Dynamic Impulse
   • In sideways markets or when hot topic rotation accelerates, it is recommended to build a “value + quality + low volatility + momentum” multi-factor portfolio, supplemented by “factor within factor” rotation (e.g., mining factor weights based on winning rate/Sharpe ratio) to ensure a certain winning rate in different style switches;
   • Portfolios can be constructed by strategy categories (dividend + low volatility, value 50, high quality + growth), and low volatility can be enhanced in high volatility months, while quality + momentum can be increased in high expected earnings recovery windows;
   • At the same time, retain a certain cash/short-term treasury bond buffer to reduce the drag of short-term sharp drawdowns on long-term winning rates.

**3. Implementation Recommendations and Risk Control Key Points

1. Portfolio Construction Recommendations
   • Reassess the weights of value, quality, low volatility, and momentum factors annually or semi-annually to ensure factors cover different market phases;
   • Two types of indices (e.g., value stable + momentum) can be configured simultaneously in the portfolio to achieve diversification through equal weights or preset weights;
   • When valuations rise significantly and market sentiment heats up, you can gradually increase the position of dividend/value factors, and pay attention to quality factors to prevent reversals in the early stage of valuation repair.

2. Risk Control and Dynamic Monitoring
   • Monitor the deviation trends of maximum drawdown, winning rate indicators, and volatility; if the “winning rate” drops significantly in the short term (e.g., three consecutive months of negative returns), consider reducing the weight of momentum factors or strengthening low volatility factors;
   • Combine macro indicators (e.g., market volatility index, capital flow) to determine whether to increase defensive factors;
   • For months with increased volatility, trend-following strategies (e.g., short-term momentum ETFs) can be used to smooth overall portfolio volatility.

**4. Conclusion

A-Shares high-winning rate value index strategies can maintain high winning rates and excellent risk-adjusted performance in different market environments through stable value + quality + low volatility portfolio design. The core lies in flexibly adjusting factor weights (dividend/value stability, momentum/earnings recovery, low volatility/quality) in the three market phases of “defense-offense-rotation”, and introducing multi-index/multi-style portfolios to achieve risk diversification. Based on current data, Xinhua Zhongchengxin Dividend Value and Huazheng Value Optimal 50 maintain a winning rate of about 80% over a long period, while CSI Value 100 reaches 90%, showing the long-term resilience of value factors in A-Shares. On this basis, moderate overlay of momentum and quality signals can further enhance style adaptability and risk-adjusted returns. [1]

[1] Xueqiu - “A-Shares High-Winning Rate Strategic Value Indices” Special Topic, https://feeder.co/discover/3a9c007133/xueqiu-com-hots-topic