In the China A-share market, dividend strategies may help market participants pursue income distribution while participating in equity market performance. However, screening solely for high dividend yield may expose market participants to yield traps: companies whose elevated yield reflects share price weakness rather than sustainable dividend distributions. This is where index design may help address the challenge. A rules-based index methodology can incorporate yield and price momentum criteria to seek a more balanced high dividend yield index approach.
This paper introduces the S&P China A-Share LargeCap High Yield 50 Index, which measures the performance of 50 stocks with high dividend yield and strong price momentum within the S&P China A Domestic LargeCap universe. The index is weighted by trailing 12-month dividend yield and includes diversification constraints at the stock and sector levels. Our analysis reviews the index methodology, historical performance, market environment behavior, fundamentals, sector profile and hypothetical implications when combined with the CSI 300 Index.
Index Construction
On May 25, 2026, S&P DJI launched the S&P China A-Share LargeCap High Yield 50 Index. Under the index methodology, the initial universe comprises the 100 stocks with the highest dividend yields from the S&P China A Domestic LargeCap, a benchmark that measures the top 70% of the float-adjusted market capitalization (FMC) of the China A-share market. After applying basic size, liquidity and trading history requirements, the index excludes the 50 stocks with the weakest price momentum from this high yield universe. The remaining 50 stocks form the final index constituents and are weighted by dividend yield, subject to single-stock and GICS® sector capping constraints. The index is rebalanced semiannually in January and July. Exhibit 1 summarizes the index methodology.
The key differentiator of the index design, compared with other dividend indices, is the momentum screen. Momentum generally measures how a stock’s price changes over a specified period; strong price returns indicate positive momentum, while weak price returns indicate negative momentum. Momentum is a widely researched factor in financial literature and can be traced back to Jegadeesh and Titman, who demonstrated that stocks that performed well or poorly over a 3- to 12-month period tended to continue performing well or poorly over the subsequent 3 to 12 months.
