贴水到底是什么？为什么它会影响收益？

Group 1 - The article discusses the concept of "backwardation," which occurs when futures prices are lower than spot prices, indicating a pessimistic market outlook for the future [7][8]. - It explains that regardless of price fluctuations, spot and futures prices will converge at the delivery date due to trading mechanisms and arbitrage activities [10][12]. - The article provides an example of how arbitrage works using apples, illustrating how traders can profit from price discrepancies between spot and futures markets [13][19]. Group 2 - The article highlights that the convergence of prices is enforced by trading regulations, particularly in financial futures like the CSI 300 index futures [22][25]. - It notes that the cost of hedging, referred to as "hedging cost," is a significant factor affecting the final returns of neutral strategies [26][28]. - The article identifies two main factors that influence backwardation: corporate dividends and increased hedging demand, particularly during the dividend season from May to July [30][39]. Group 3 - It mentions that during the dividend season, stock prices drop due to ex-dividend adjustments, which leads to a decrease in index levels and consequently deepens backwardation [31][34]. - The article also points out that for small-cap indices, the impact of dividends is minimal, and deeper backwardation is primarily driven by supply-demand dynamics in the futures market [38]. - It advises investors to avoid neutral strategies when annualized backwardation exceeds 15% [39].