分红对期指的影响20250704：IH升水，IC及IM贴水扩大，中小盘短期偏多对待

Quantitative Models and Construction Methods - Model Name: Dividend Forecast Model Model Construction Idea: The model aims to predict the impact of dividends on index futures pricing by estimating the dividend distribution of index constituent stocks and its influence on futures contracts[9][20][23] Model Construction Process: 1. Estimate Net Profit of Constituent Stocks: Use annual reports, earnings forecasts, and other financial data to estimate the net profit of each constituent stock[21][23] 2. Calculate Pre-Tax Total Dividends: Based on the assumption that the dividend payout ratio remains constant, calculate the total pre-tax dividends for each stock[24][27] 3. Assess Dividend Impact on Index: - Dividend Yield = Total Post-Tax Dividends / Latest Market Value - Dividend Points = Stock Weight × Dividend Yield - Adjust stock weights using the formula: \mathrm{w_{it}={\frac{w_{i0}\times\mathrm{ \1+R }}{\sum_{1}^{n}w_{i0}\times\mathrm{ \1+R }}}} where $w_{i0}$ is the initial weight, and $R$ is the stock's return over the period[24] 4. Predict Dividend Impact on Futures Contracts: - Estimate ex-dividend dates based on historical patterns or announced schedules - Aggregate all dividends before the contract's settlement date to calculate the total impact on futures pricing[25][26][28] Model Evaluation: The model provides a systematic approach to quantify dividend impacts, but its accuracy depends on the reliability of assumptions and historical data[9][20][23] - Model Name: Futures Pricing Model with Discrete Dividends Model Construction Idea: This model calculates the theoretical price of index futures by incorporating the present value of discrete dividend distributions during the contract period[29] Model Construction Process: - Formula: $F_t = (S_t - D)(1 + r)$ where $F_t$ is the futures price, $S_t$ is the spot price, $D$ is the present value of dividends, and $r$ is the risk-free rate[29] Model Evaluation: The model is effective for scenarios with distinct dividend distributions but may not capture continuous dividend flows accurately[29] - Model Name: Futures Pricing Model with Continuous Dividends Model Construction Idea: This model assumes dividends are distributed continuously over time and calculates the theoretical futures price accordingly[30] Model Construction Process: - Formula: $F_t = S_t e^{(r-d)(T-t)}$ where $F_t$ is the futures price, $S_t$ is the spot price, $r$ is the risk-free rate, $d$ is the annualized dividend yield, and $T-t$ is the time to maturity[30] Model Evaluation: Suitable for markets with frequent and evenly distributed dividends, providing a more realistic pricing framework in such scenarios[30] Model Backtesting Results - Dividend Forecast Model: - Remaining dividend impact on July contracts: IH (0.82%), IF (0.57%), IC (0.16%), IM (0.14%)[15] - Annualized hedging costs (excluding dividends, 365-day basis): IH (-4.89%), IF (-2.72%), IC (12.34%), IM (16.97%)[6][10][12][13][14] - Futures Pricing Model with Discrete Dividends: - Not explicitly tested in the report - Futures Pricing Model with Continuous Dividends: - Not explicitly tested in the report Quantitative Factors and Construction Methods - Factor Name: Dividend Yield Factor Factor Construction Idea: Measures the dividend yield of index constituent stocks to assess their contribution to the overall index dividend impact[24] Factor Construction Process: - Formula: Dividend Yield = Total Post-Tax Dividends / Latest Market Value[24] Factor Evaluation: Provides a direct measure of dividend contribution but may be sensitive to market value fluctuations[24] - Factor Name: Stock Weight Adjustment Factor Factor Construction Idea: Adjusts the weight of each stock in the index based on its return over a specified period[24] Factor Construction Process: - Formula: \mathrm{w_{it}={\frac{w_{i0}\times\mathrm{ \1+R }}{\sum_{1}^{n}w_{i0}\times\mathrm{ \1+R }}}} where $w_{i0}$ is the initial weight, and $R$ is the stock's return over the period[24] Factor Evaluation: Enhances the accuracy of dividend impact calculations by accounting for stock performance dynamics[24] Factor Backtesting Results - Dividend Yield Factor: - Not explicitly tested in the report - Stock Weight Adjustment Factor: - Not explicitly tested in the report