股指分红点位监控周报：小微盘风格持续领涨，IC及IM合约持续深贴水-20250807

• The report introduces a dividend point estimation model for stock indices, which is crucial for accurately assessing the premium or discount levels of stock index futures contracts. The model incorporates key variables such as component stock weights, dividend amounts, total market capitalization, and index closing prices[38][43][39] - Component stock weights are dynamically adjusted using daily closing weight data provided by the China Securities Index Company to ensure accuracy. The formula for weight adjustment is: $W_{n,t}={\frac{w_{i0}\times(1+r_{n})}{\sum_{i=1}^{N}w_{i0}\times(1+r_{n})}}$ where $w_{i0}$ represents the weight at the last disclosed date, and $r_{n}$ is the non-reinvested return of the stock[44][45] - Dividend amounts are estimated using historical net profit distributions and dividend payout ratios. If a company has disclosed its annual dividend, the disclosed value is used; otherwise, the dividend is calculated as: Dividend Amount = Net Profit × Dividend Payout Ratio Net profit is predicted based on historical quarterly profit stability, while the dividend payout ratio is derived from historical averages[46][49][50] - Ex-dividend dates are forecasted using a linear extrapolation method based on historical intervals between dividend announcement dates and ex-dividend dates. If historical data is unavailable or unreliable, default dates are applied based on typical dividend timing patterns[50][55][54] - The model demonstrates high accuracy in predicting dividend points for major indices such as the SSE 50 and CSI 300, with annual prediction errors generally within 5 points. Predictions for the CSI 500 index show slightly larger deviations, typically around 10 points[56][60][64] - Backtesting results for stock index futures contracts reveal varying levels of annualized discount rates as of August 6, 2025: - IH futures: -0.93% - IF futures: -3.52% - IC futures: -18.10% - IM futures: -15.40%[4][13][12]