Investment Rating - The investment rating for the coal mining industry is "Positive" [2] Core Viewpoints - The current phase is seen as the beginning of a new upward cycle for the coal economy, with a resonance between fundamentals and policies, making it an opportune time to accumulate coal sector investments [4][12] - The coal price is expected to rise due to factors such as cold weather and low inventory levels at ports, which may drive demand quickly [4][12] - The coal sector remains undervalued, with a strong potential for price recovery and high dividend yields, making it a favorable investment opportunity [4][12] Summary by Sections Coal Price Tracking - As of November 15, the market price for Qinhuangdao port thermal coal (Q5500) is 827 CNY/ton, up 19 CNY/ton week-on-week [3][29] - The price for coking coal at Jing Tang port is 1830 CNY/ton, an increase of 30 CNY/ton week-on-week [3][31] Supply and Demand Tracking - The capacity utilization rate for thermal coal mines is 91.2%, up 0.1 percentage points week-on-week, while for coking coal it is 86.28%, up 2.5 percentage points [4][12] - Daily coal consumption in inland provinces increased by 12.3 thousand tons/day (+3.8%), while consumption in coastal provinces decreased by 8.0 thousand tons/day (-4.26%) [4][12] Inventory Situation - Coal inventory in coastal provinces increased by 464 thousand tons week-on-week, while inland provinces saw an increase of 2.517 million tons [4][12] Company Performance - The coal sector's performance is highlighted by companies such as China Shenhua, Shaanxi Coal and Chemical Industry, and Yanzhou Coal Mining Company, which are noted for their stable operations and strong earnings [13][14]

Investment Rating - The industry investment rating is "Positive" [2] Core Insights - The electronic sub-industry experienced a pullback this week, with the Shenwan Electronics Secondary Index showing year-to-date changes: Semiconductors (+40.76%), Other Electronics II (+51.96%), Components (+85.55%), Optical Electronics (+5.55%), Consumer Electronics (+42.36%), and Electronic Chemicals II (+38.09%). This week, the changes were: Semiconductors (-3.97%), Other Electronics II (-2.29%), Components (-9.25%), Optical Electronics (-1.25%), Consumer Electronics (-6.18%), and Electronic Chemicals II (-2.44%) [9][11] - Major North American stocks showed mixed performance this week, with notable changes including Apple (+1.47%), Tesla (-5.86%), Qualcomm (+1.81%), and Micron Technology (+3.74%) [11] - NAND supply has been reduced by major manufacturers in the second half of the year, which is expected to further increase storage prices. Samsung, SK Hynix, Kioxia, and Micron have all cut their NAND Flash supply, potentially exacerbating supply-demand imbalances and driving prices up. Samsung has lowered its NAND wafer production target to 4.72 million units, a year-on-year decrease of 7% [2][3] - Capital expenditure (Capex) for storage leaders remains conservative, with expansions primarily directed towards high-value areas such as AI. DRAM Capex is projected to reach $53.7 billion in 2025 and $61.3 billion in 2026, a year-on-year increase of 14%. NAND Flash Capex is expected to be $21.1 billion in 2025, with a slight increase to $22.2 billion in 2026, a year-on-year increase of 5% [2][3] Summary by Sections - **Market Tracking**: The electronic sub-industry has seen a pullback this week, with various segments experiencing different levels of decline [9][11] - **Stock Performance**: Key North American stocks have shown varied performance, with some gaining and others losing value [11] - **NAND Supply and Pricing**: Major manufacturers are reducing NAND supply, which is likely to lead to further price increases [2][3] - **Capital Expenditure Trends**: Storage companies are adopting a conservative approach to Capex, focusing on high-value products [2][3]

Investment Rating - The report maintains a "Positive" investment rating for the steel industry, consistent with the previous rating [3]. Core Viewpoints - The steel sector is showing signs of recovery with a slight increase in prices and production, despite facing supply-demand imbalances and overall profit declines. The report suggests that the implementation of "stability growth" policies will support demand in real estate and infrastructure, leading to a potential marginal improvement in steel demand [4][6]. - The report highlights that the steel industry is expected to maintain a stable supply-demand situation, with a tightening supply due to policy expectations and increasing industry concentration. This is anticipated to create structural investment opportunities, particularly for high-margin special steel companies and leading enterprises with strong cost control [4][6]. Supply Situation - As of November 14, the capacity utilization rate for blast furnaces in sample steel companies is 88.8%, an increase of 0.99 percentage points week-on-week. Electric furnace utilization stands at 53.2%, up by 2.31 percentage points [26]. - The total production of five major steel products is 7.261 million tons, a week-on-week decrease of 229,800 tons, or 3.07% [26]. Demand Situation - The consumption of five major steel products is 8.606 million tons, reflecting a week-on-week decline of 63,300 tons, or 0.73% [34]. - The transaction volume of construction steel by mainstream traders is 100,000 tons, which is an increase of 370 tons, or 3.87% week-on-week [34]. Inventory Situation - Social inventory of five major steel products is 10.614 million tons, a week-on-week decrease of 136,100 tons, or 1.27%, but an increase of 30.61% year-on-year [42]. - Factory inventory of five major steel products is 4.160 million tons, down by 126,100 tons, or 2.94% week-on-week, and up by 6.35% year-on-year [42]. Price & Profit Situation - The comprehensive index for ordinary steel is 3,422.3 yuan/ton, with a week-on-week increase of 2.47 yuan/ton, but a year-on-year decrease of 6.85% [48]. - The profit for rebar produced in blast furnaces is -29 yuan/ton, an increase of 10 yuan/ton week-on-week, while the profit for electric arc furnace-produced construction steel is -155 yuan/ton, up by 7 yuan/ton week-on-week [54]. Raw Material Situation - The spot price index for Australian iron ore (62% Fe) is 786 yuan/ton, with a week-on-week increase of 10 yuan/ton [71]. - The price of primary metallurgical coke is 1,935 yuan/ton, reflecting a week-on-week increase of 55 yuan/ton [71]. Investment Recommendations - The report suggests focusing on regional leading enterprises with advanced equipment and environmental standards, such as Shandong Steel and Hualing Steel, as well as companies with excellent growth potential like Baosteel and Nanjing Steel [4].

Investment Rating - The report does not explicitly state an investment rating for the petrochemical industry Core Insights - The report highlights that the domestic and international refining project price differentials have shown an upward trend, with domestic key refining project price differential at 2336.60 CNY/ton, up by 25.35 CNY/ton (+1.10%) week-on-week, while the international price differential reached 1436.69 CNY/ton, increasing by 67.88 CNY/ton (+4.96%) [2][3] - Brent crude oil's weekly average price was reported at 63.92 USD/barrel, reflecting a slight decrease of 0.49% [2][3] - The report notes that the polyester and nylon sectors are experiencing a recovery in profitability, particularly in the polyester filament segment, driven by increased demand and a rise in raw material prices [2][3] Summary by Sections Refining Sector - Saudi Arabia has lowered the December crude oil selling price to Asia in response to ample supply, leading to concerns over oversupply and a subsequent decline in international oil prices [2][3] - In the latter part of the week, China's crude oil imports increased, and a decline in the US dollar boosted market sentiment, contributing to a slight recovery in international oil prices [2][3] - The report indicates that domestic diesel and gasoline prices have seen slight increases, with average prices at 6788.57 CNY/ton (+105.86), 7626.57 CNY/ton (+12.29), respectively [2][3] Chemical Sector - The chemical products market remains weak, with supply-side disturbances affecting prices. Polyolefin prices are stable but slightly declining, while EVA prices have also seen a minor decrease [2][3] - The report mentions that pure benzene prices have continued to decline due to increased supply at the East China terminal, leading to a slight narrowing of price differentials [2][3] - The profitability of nylon fibers remains weak, while polyester filament production is increasing, supported by seasonal demand for winter fabrics [2][3] Market Performance - The stock performance of six major private refining companies shows varied results, with Oriental Energy seeing a significant increase of 10.13% in stock price over the week [2][3] - Over the past month, Hengli Petrochemical has experienced a stock price increase of 14.38%, indicating positive market sentiment towards certain companies in the sector [2][3]

Group 1 - The report indicates that over the past two months, the value style has strengthened significantly, with financial, cyclical, and consumer sectors rotating in performance [2][10][11] - The core reason for this style diffusion is attributed to the performance window before year-end, where sectors lack high-frequency quarterly reports to validate performance, leading to volatility driven mainly by valuation and expectations [2][10] - Historical context shows that in the second half of 2014, a liquidity bull market saw a shift from TMT to value, with cyclical and financial sectors performing well, although this trend was short-lived [2][10][18] Group 2 - The report notes that the current style diffusion is still in a phase driven by valuation, expectations, and capital inflow, which is expected to last at least 1-2 quarters [2][10][25] - For the style diffusion to transition into an annual-level market, the profitability logic of value stocks needs to be validated [2][10][25] - The report suggests that in the later stages of the liquidity bull market, the technology sector, which has a stronger long-term industrial logic, may return to prominence before the stabilization of value stock fundamentals [2][10][25] Group 3 - The report highlights that the financial sector is currently undervalued, with a high probability of outperforming as resident capital accelerates inflow [29][34] - The electrical equipment sector is noted for its potential growth, benefiting from investments in the AI industry and improving supply-demand dynamics [29][34] - The cyclical sector, particularly steel and chemicals, is expected to see opportunities due to stabilizing supply policies and potential demand recovery [29][34]

欧盟需求刺激下，SAF 价格持续上涨 【】【】[Table_Industry] 环保周报 [Table_ReportDate] 2025 年 11 月 16 日 15666646523.tcy 证券研究报告 行业研究——周报 [Table_ReportType] 行业周报 [Table_StockAndRank] 环保 投资评级 看好 上次评级 看好 郭雪环保联席首席分析师 执业编号：S1500525030002 邮箱：guoxue@cindasc.com 吴柏莹环保行业分析师 化工行业： 执业编号：S1500524100001 邮箱：wuboying@cindasc.com 信达证券股份有限公司 CINDASECURITIESCO.，LTD 北京市西城区宣武门西大街甲127号金隅大厦 B座 邮编：100031 [Table_Title] 欧盟需求刺激下，SAF 价格持续上涨 2025 年 11 月 16 日 本期内容提要: 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 2 [Table_Author] [Table_Summary] [Table_Summary] ➢ 行情 ...

Investment Rating - The investment rating for the utility sector is "Positive" [2] Core Insights - The report highlights the release of the "Guiding Opinions on Promoting the Integrated Development of New Energy," aiming to enhance the reliability and market competitiveness of new energy by 2030 [5] - In October, the industrial natural gas output reached 22.1 billion cubic meters, marking a year-on-year increase of 5.9% [5] - The report indicates a potential for profit improvement and value reassessment in the power sector due to previous supply-demand tensions [5] Market Performance - As of November 14, the utility sector declined by 0.6%, underperforming the broader market, with the power sector down by 1.13% and the gas sector up by 4.48% [4][12] - The report notes that the coal prices have increased, with Qinhuangdao port coal prices at 827 RMB/ton, a week-on-week increase of 19 RMB/ton [4][22] Power Industry Data Tracking - The report tracks various metrics, including coal prices, inventory levels, and daily consumption rates, indicating a decrease in coal inventory at Qinhuangdao port to 5.5 million tons, down by 270,000 tons week-on-week [4][29] - The average daily consumption of coal in inland provinces increased to 3.364 million tons, up by 123,000 tons/day week-on-week [31] Natural Gas Industry Data Tracking - Domestic natural gas production in October was 22.1 billion cubic meters, a year-on-year increase of 6.0% [5] - The report notes that the average LNG ex-factory price in China was 4,357 RMB/ton, a decrease of 3.35% year-on-year [57] - The EU's natural gas supply for week 44 was 6.5 billion cubic meters, a year-on-year increase of 14.4% [64] Investment Recommendations - For the power sector, the report suggests focusing on leading coal power companies such as Guodian Power and Huaneng International, as well as hydropower operators like China Yangtze Power [5] - In the natural gas sector, companies with low-cost long-term gas sources and receiving station assets are expected to benefit from market conditions [5]

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - Interest rates are recovering, credit bond yields are generally stable, and credit spreads of high - grade bonds over 3Y are widening. The yields of credit bonds are generally stable, while the yields of government - developed bonds of 3Y, 5Y, 7Y, and 10Y are declining. Credit spreads of high - grade bonds over 3Y are mostly widening [2][5]. - Most urban investment bond spreads have slightly increased. The credit spreads of external rating AAA and AA+ platforms have generally increased by 2BP and 1BP respectively compared to last week, while the AA platform has generally remained flat [2][9]. - The spreads of industrial bonds have increased overall, and the increase in the spreads of mixed - ownership real - estate bonds is significant. The spreads of central and state - owned enterprise real - estate bonds, mixed - ownership real - estate bonds, and private real - estate bonds have all increased, with the mixed - ownership real - estate bonds having the largest increase [2][20]. - The yields of Tier 2 and perpetual bonds have slightly declined, and high - grade varieties are relatively advantageous. The yields of Tier 2 and perpetual bonds of all maturities have slightly decreased, with 3Y perpetual bonds performing strongly and high - grade varieties being more favorable [2][27]. - The excess spreads of 3Y industrial perpetual bonds have declined, and the excess spreads of urban investment perpetual bonds continue to diverge. The excess spreads of industrial AAA 3Y perpetual bonds have decreased, while the excess spreads of urban investment AAA 3Y and 5Y perpetual bonds show different trends [2][31]. Summary by Relevant Catalogs 1. Interest rates are recovering, credit bond yields are generally stable, and credit spreads of high - grade bonds over 3Y are widening - Yield changes: 1Y government - developed bond yields are flat compared to last week, while 3Y, 5Y, 7Y, and 10Y yields have decreased by 3BP, 2BP, 2BP, and 1BP respectively. For credit bonds, 1Y yields are flat, 3Y AAA - grade yields increase by 1BP, others decrease by 1BP; 5Y AAA - grade yields are flat, AA+ decreases by 1BP, AA decreases by 3BP, AA - decreases by 8BP; 7Y AAA - grade yields increase by 1BP, others decrease by 1BP; 10Y AAA - grade yields increase by 2BP, others are flat [2][5]. - Credit spread changes: 1Y credit spreads are flat; 3Y AAA - grade credit spreads increase by 4BP, others increase by 2BP; 5Y AA+ and above grade spreads increase by 1 - 2BP, AA grade decreases by 1BP, AA - grade decreases by 6BP; 7 - 10Y credit spreads increase by 1 - 3BP [2][5]. - Rating spread changes: 1Y spreads are flat; 3Y AAA/AA+ spreads decrease by 2BP, others are flat; 5Y AA/AA - grade spreads decrease by 5BP, others decrease by 1 - 2BP; 7Y and 10Y AAA/AA+ rating spreads decrease by 2BP, others are flat [5]. - Maturity spread changes: For AAA grade, 5Y/3Y decreases by 1BP, others increase by 1BP; for AA+ grade, 3Y/1Y decreases by 1BP, 10Y/7Y increases by 1BP, others are flat; for AA grade, 5Y/3Y and 3Y/1Y decrease by 1 - 2BP, others increase by 1 - 2BP [5]. 2. Most urban investment bond spreads have slightly increased - By external rating: The credit spreads of external rating AAA and AA+ platforms have generally increased by 2BP and 1BP respectively compared to last week, while the AA platform has generally remained flat. Among them, most AAA - grade platform spreads increase by 1 - 2BP, with Henan and Yunnan remaining flat; most AA+ - grade platforms are flat or increase by 1BP, with Guizhou, Yunnan, and Tianjin decreasing by 1 - 3BP, Gansu and Inner Mongolia increasing by 2BP; most AA - grade platforms are flat or increase by 1BP, with Shaanxi, Tianjin, Jilin, and Shandong decreasing by 1 - 3BP, Guizhou increasing by 4BP [2][9]. - By administrative level: The credit spreads of provincial and municipal platforms have generally increased by 2BP and 1BP respectively compared to last week, while the county - level platform spreads have remained flat. Most provincial platform spreads increase by 1 - 2BP, with Xinjiang, Anhui, and Zhejiang increasing by 3 - 4BP, Jiangsu increasing by 7BP, Yunnan and Shaanxi remaining flat; most municipal platforms increase by 1BP, with Yunnan decreasing by 1BP, Qinghai remaining flat, Zhejiang increasing by 2BP; most county - level platforms are flat or increase by 1BP, with Shaanxi, Jilin, and Jiangxi decreasing by 1 - 2BP, Guizhou increasing by 3BP [2][17]. 3. The spreads of industrial bonds have increased overall, and the increase in the spreads of mixed - ownership real - estate bonds is significant - Real - estate bonds: The spreads of central and state - owned enterprise real - estate bonds have increased by 1BP, the spreads of mixed - ownership real - estate bonds have increased by 123BP, and the spreads of private real - estate bonds have increased by 14BP. The spreads of Longfor have increased by 20BP, CIFI by 40BP, Midea Real Estate remained flat, and Vanke by 438BP [2][20]. - Other industrial bonds: The spreads of coal bonds of all grades have increased by 0 - 2BP; the spreads of AAA - grade steel bonds have increased by 1BP, AA+ by 5BP; the spreads of AAA - grade chemical bonds have increased by 2BP, AA+ remained flat. The spreads of Shaanxi Coal Industry have increased by 1BP, while the spreads of HBIS and Jinkong Coal Industry have decreased by 1BP [2][20]. 4. The yields of Tier 2 and perpetual bonds have slightly declined, and high - grade varieties are relatively advantageous - 1Y: The yields of all grades of Tier 2 and perpetual bonds have decreased by 0 - 1BP, and the spreads have compressed similarly [2][27]. - 3Y: The yields of all grades of Tier 2 capital bonds have decreased by 2 - 3BP, and the spreads have increased by 0 - 1BP; the yields of all grades of perpetual bonds have decreased by 3 - 4BP, and the spreads have compressed by 0 - 1BP [2][27]. - 5Y: The yield of AAA - grade Tier 2 capital bonds has decreased by 3BP, and the spread is flat; the yields of other grades of Tier 2 and perpetual bonds have decreased by 2BP, and the spreads have increased by 1BP [2][27]. 5. The excess spreads of 3Y industrial perpetual bonds have declined, and the excess spreads of urban investment perpetual bonds continue to diverge - Industrial perpetual bonds: The excess spreads of industrial AAA 3Y perpetual bonds have decreased by 1.38BP to 14.79BP compared to last week, at the 38.88% percentile since 2015; the excess spreads of industrial 5Y perpetual bonds are flat at 12.39BP compared to last week, at the 27.07% percentile since 2015 [2][31]. - Urban investment perpetual bonds: The excess spreads of urban investment AAA 3Y perpetual bonds have decreased by 2.04BP to 5.35BP, at the 5.14% percentile; the excess spreads of urban investment AAA 5Y perpetual bonds have increased by 1.83BP to 10.97BP, at the 17.02% percentile [2][31]. 6. Credit Spread Database Compilation Instructions - Calculation basis: The overall market credit spreads, commercial bank Tier 2 and perpetual bond spreads, and urban investment/industrial perpetual bond credit spreads are calculated based on ChinaBond Medium - and Short - Term Notes and ChinaBond Perpetual Bonds data, with historical percentiles since the beginning of 2015; the urban investment and industrial bond - related credit spreads are compiled and统计 by the R & D Center of Cinda Securities, with historical percentiles since the beginning of 2015 [36]. - Calculation methods: Industrial and urban investment individual bond credit spreads = individual bond ChinaBond valuation (exercise) - same - maturity government - developed bond yield to maturity (calculated by linear interpolation method), and then the credit spreads of industries or regional urban investments are obtained by arithmetic averaging; bank Tier 2 capital bond/perpetual bond excess spreads = bank Tier 2 capital bond/perpetual bond credit spreads - same - grade and same - maturity bank ordinary bond credit spreads; industrial/urban investment - type perpetual bond excess spreads = industrial/urban investment - type perpetual bond credit spreads - same - grade and same - maturity medium - term note credit spreads [38]. - Sample selection: Both industrial and urban investment bonds select medium - term notes and public corporate bonds as samples, and exclude guaranteed bonds and perpetual bonds. If the remaining maturity of an individual bond is less than 0.5 years or more than 5 years, it is excluded from the statistical sample. Industrial and urban investment bonds use external entity ratings, while commercial banks use ChinaBond implicit debt ratings [38].

Investment Rating - The report does not specify an explicit investment rating for the industry [2]. Core Insights - The National Energy Administration has issued guidelines to promote integrated development in the new energy sector, aiming to create a more resilient, efficient, and sustainable energy development model. This includes opportunities in areas such as the integration of new energy with computing infrastructure and the development of green hydrogen and ammonia [11][12]. - Brazil's political figure highlighted the potential for cooperation with China as a pathway to sustainable development, emphasizing China's efforts in environmental improvement and carbon reduction [3][17]. - The report tracks the issuance of ESG financial products, noting that as of November 15, 2025, there are 3,746 ESG bonds with a total value of 5.63 trillion RMB, of which green bonds account for 61.92% [4][27]. - The report also indicates that the ESG public fund market consists of 942 products with a total net value of 116.01 billion RMB, with ESG strategy products making up 45.15% of this total [4][32]. - Major ESG indices have shown varied performance, with the Shenzhen ESG 300 index experiencing a decline of 0.79% recently, while the 300 ESG Leading index saw an increase of 0.38% [5][38]. Summary by Sections Domestic Highlights - The National Energy Administration's guidelines emphasize multi-dimensional integration in new energy development, including collaboration with various industries and non-electric applications [11]. - Shenzhen's measures to support the green low-carbon industry include 11 specific initiatives aimed at high-quality development [12]. - The National Development and Reform Commission has set a target for at least 200 million kilowatts of new energy consumption annually, focusing on collaboration with computing and storage technologies [13]. - A pilot program for carbon footprint labeling has been initiated in Shandong, targeting specific industries for carbon footprint management [14]. - The world's largest green ammonia project is being developed in Jilin Province, showcasing a new paradigm for renewable energy commercialization [15][16]. International Highlights - Brazil's political figure emphasized the importance of collaboration with China for sustainable development during the COP30 conference [3][17]. - The "Belt and Road" initiative has expanded its international cooperation mechanism to include 34 countries, enhancing disaster prevention and emergency management [18]. - The U.S. Chamber of Commerce is seeking to halt California's new climate reporting law, arguing it infringes on free speech rights [19]. - The EU is negotiating with the UK to link their carbon markets, marking a significant step in post-Brexit environmental policy alignment [20][21]. ESG Financial Products Tracking - As of November 15, 2025, the ESG bond market includes 3,746 bonds with a total value of 5.63 trillion RMB, with 826 billion RMB issued in the current month [4][27]. - The ESG public fund market consists of 942 products with a total net value of 116.01 billion RMB, with 236 new funds issued in the past year [4][32]. - The ESG bank wealth management market includes 1,157 products, with pure ESG products making up 54.19% of the total [4][37]. Index Tracking - Major ESG indices have shown mixed performance, with the Shenzhen ESG 300 index down 0.79% recently, while the 300 ESG Leading index increased by 0.38% [5][38]. - Over the past year, the Shenzhen ESG 300 index has risen by 15.9%, while the CSI 300 ESG Leading index has increased by 11.34% [5][38]. Expert Opinions - The World Economic Forum's sustainable finance head noted that ESG discussions have shifted from theoretical to practical capital deployment, emphasizing the importance of long-term value creation and risk management [6][40].

- The report introduces the **Cinda-VIX volatility index**, which reflects investors' expectations of future volatility in the options market. The index is structured to capture volatility across different time horizons, providing insights into market sentiment and risk expectations. The methodology is based on adjustments to overseas practices and tailored to China's options market conditions[61][60][63] - The **Cinda-SKEW index** measures the skewness of implied volatility across different strike prices of options. It captures market concerns about tail risks, with higher values indicating increased demand for out-of-the-money put options due to fears of significant market downturns. As of November 14, 2025, the SKEW values for major indices are: 103.51 for SSE 50, 107.66 for CSI 300, 104.66 for CSI 500, and 107.22 for CSI 1000[68][67][66] - The report evaluates **basis-adjusted futures hedging strategies**, including continuous hedging and minimum basis strategies. These strategies involve holding spot indices and shorting futures contracts with specific rules for rebalancing and contract selection. The backtesting period spans from July 22, 2022, to November 14, 2025, with detailed performance metrics provided for indices like CSI 500, CSI 300, SSE 50, and CSI 1000[43][44][45] - **Performance metrics for hedging strategies** are detailed for each index. For CSI 500 futures, annualized returns range from -3.20% to -1.70%, with volatility between 3.83% and 4.75%. For CSI 300 futures, annualized returns range from 0.47% to 1.21%, with volatility between 2.92% and 3.27%. For SSE 50 futures, annualized returns range from 1.12% to 2.05%, with volatility between 3.00% and 3.40%. For CSI 1000 futures, annualized returns range from -6.26% to -4.21%, with volatility between 4.75% and 5.78%[47][52][56][58] - The **basis adjustment formula** is provided to account for dividend impacts on futures contracts. The formula is: $ Annualized Basis = (Actual Basis + (Expected) Dividend Points) / Index Price × 360 / Remaining Contract Days $ This adjustment ensures accurate analysis of futures basis by removing dividend effects[19][20][36]