股指分红点位监控周报：IC及IM主力合约年化贴水均超10%-20251023

• The report introduces the dividend point estimation method for stock indices, emphasizing its importance in accurately calculating the premium or discount of stock index futures contracts, which track price indices rather than total return indices[39][12][44] - The dividend point estimation formula is presented as follows: $Dividend\ Points = \sum_{n=1}^{N} \frac{Dividend\ Amount_{n}}{Total\ Market\ Value_{n}} \times Weight_{n} \times Index\ Closing\ Price$ Here, $n$ represents the index constituent stock, $Weight_{n}$ is the stock's weight in the index, and $Dividend\ Amount_{n}$ is the dividend amount of the stock[39][44][40] - The estimation process involves several steps: 1. Determine whether the company has disclosed dividend amounts and ex-dividend dates. If not, estimate these values[42] 2. Estimate dividend amounts using the formula $Dividend\ Amount = Net\ Profit \times Dividend\ Payout\ Ratio$, where net profit is dynamically predicted based on historical profit distributions[47][50] 3. Predict dividend payout ratios using historical averages, applying truncation if the ratio exceeds 100%[51][53] 4. Forecast ex-dividend dates using historical intervals and linear extrapolation methods[56][55][53] - The report highlights the accuracy of the dividend point estimation model, noting that for indices like the SSE 50 and CSI 300, the prediction error is within 5 points, while for CSI 500, the error is around 10 points[57][61][62] - The backtesting results for stock index futures contracts show varying annualized premium or discount levels: - IH main contract: annualized premium of 0.55%[4][13] - IF main contract: annualized discount of 2.85%[4][13] - IC main contract: annualized discount of 10.08%[4][13] - IM main contract: annualized discount of 12.15%[4][13] - The historical percentile levels of the main contracts are also analyzed: - IH contract is at the 49th percentile[27][29] - IF contract is at the 24th percentile[27][29] - IC contract is at the 12th percentile[27][32] - IM contract is at the 8th percentile[27][32] - The report concludes that the deeper the market capitalization coverage of the index, the greater the discount observed in the futures contracts[24][27][12]