分红对期指的影响20250725：IH升水回落，IC及IM深贴水，持续关注中小盘贴水套利机会

Quantitative Models and Construction Methods 1. 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 points for each index and calculating the theoretical cost of holding futures contracts until expiration[7][11][19] - Model Construction Process: 1. Estimate Component Stocks' Net Profit: Use annual reports, earnings forecasts, and other financial data to estimate the net profit of index component stocks[21][23] 2. Calculate Pre-Tax Total Dividends: Based on the estimated net profit and assuming a constant dividend payout ratio, calculate the total pre-tax dividends for each stock[21][24] 3. Assess Dividend Impact on Index: Using the latest market capitalization and weight of each stock, calculate the dividend impact on the index as follows: $\text{w}_{it} = \frac{\text{w}_{i0} \times (1 + R)}{\sum_{1}^{n} \text{w}_{i0} \times (1 + R)}$ where $\text{w}_{i0}$ is the initial weight of stock $i$, and $R$ is the return over the period[24] 4. Predict Dividend Impact on Futures Contracts: Aggregate the dividend impact for all component stocks before the contract expiration date to estimate the total dividend points for each futures contract[25][28] - Model Evaluation: The model provides a systematic approach to quantify dividend impacts, but its accuracy depends on assumptions about dividend payout ratios and timing[19][28] 2. Model Name: Futures Pricing Model with Discrete Dividends - Model Construction Idea: This model calculates the theoretical price of index futures by incorporating discrete dividend distributions during the contract period[30] - Model Construction Process: 1. Assume the futures price $F_t$, spot price $S_t$, and the present value of dividends $D$ over the period $T-t$ 2. For $m$ discrete dividend payments at times $t_1, t_2, ..., t_m$, the present value of dividends is: $D = \sum_{i=1}^{m} \frac{D_i}{(1 + r_i)}$ where $r_i$ is the risk-free rate for the period between $t_i$ and $t$ 3. The theoretical futures price is then: $F_t = (S_t - D)(1 + r)$ where $r$ is the risk-free rate over the period $T-t$[30] - Model Evaluation: This model is effective for scenarios with discrete dividend distributions but may require adjustments for continuous dividend flows[30] 3. Model Name: Futures Pricing Model with Continuous Dividends - Model Construction Idea: This model simplifies the pricing of index futures by assuming continuous dividend distributions over the contract period[31] - Model Construction Process: 1. Assume the futures price $F_t$, spot price $S_t$, annualized dividend yield $d$, and annualized risk-free rate $r$ 2. The theoretical futures price is calculated as: $F_t = S_t \cdot e^{(r-d)(T-t)}$ where $T-t$ is the time to maturity[31] - Model Evaluation: This model is suitable for markets with frequent and evenly distributed dividends, providing a more streamlined calculation compared to the discrete model[31] --- Model Backtesting Results 1. Dividend Forecast Model - Annualized Hedging Costs (Excluding Dividends): - IH (SSE 50): -1.56% for August contracts[7][11] - IF (CSI 300): -0.19% for August contracts[7][11] - IC (CSI 500): 8.55% for August contracts[7][11] - IM (CSI 1000): 8.78% for August contracts[7][11] 2. Futures Pricing Model with Discrete Dividends - Remaining Impact of Dividends on August Contracts: - IH (SSE 50): 0.09%[12] - IF (CSI 300): 0.12%[13] - IC (CSI 500): 0.12%[14] - IM (CSI 1000): 0.07%[15] 3. Futures Pricing Model with Continuous Dividends - Remaining Impact of Dividends on Futures Prices: - IH (SSE 50): 2.43 points for August contracts[7][11] - IF (CSI 300): 4.81 points for August contracts[7][11] - IC (CSI 500): 7.39 points for August contracts[7][11] - IM (CSI 1000): 4.54 points for August contracts[7][11] --- Quantitative Factors and Construction Methods 1. Factor Name: Dividend Impact Factor - Factor Construction Idea: Quantify the impact of dividends on index futures pricing by calculating the dividend points and their contribution to the futures basis[7][11][19] - Factor Construction Process: 1. Estimate the dividend points for each index based on component stocks' dividend payouts and weights[21][24] 2. Incorporate the dividend points into the futures pricing model to adjust the theoretical basis[30][31] - Factor Evaluation: This factor effectively captures the influence of dividends on futures pricing, aiding in arbitrage and hedging strategies[19][28] --- Factor Backtesting Results 1. Dividend Impact Factor - Dividend Points for August Contracts: - IH (SSE 50): 2.43[7][11] - IF (CSI 300): 4.81[7][11] - IC (CSI 500): 7.39[7][11] - IM (CSI 1000): 4.54[7][11]