- The report discusses the dividend progress of constituent stocks in various indices as of March 25, 2026, including the Shanghai Stock Exchange 50 Index, the CSI 300 Index, the CSI 500 Index, and the CSI 1000 Index[1][14]. - The report provides a comparison of the dividend yield of stocks in different industries, with the banking, coal, and steel industries ranking the highest in terms of dividend yield[2][15]. - The report includes the realized and remaining dividend yields for various indices as of March 25, 2026, with the Shanghai Stock Exchange 50 Index having a realized dividend yield of 0.00% and a remaining dividend yield of 2.89%, among others[3][17]. - The report tracks the futures contract basis for major contracts, showing the annualized discount rates for IH, IF, IC, and IM main contracts as of March 25, 2026[4][13]. - The report explains the methodology for calculating the dividend points of indices, including the use of constituent stock weights, dividend amounts, total market value of constituent stocks, and index closing prices[5][42][47]. - The report details the process of estimating the weights of constituent stocks, using daily closing weights disclosed by the China Securities Index Company to ensure accuracy[6][48][49]. - The report describes the dynamic prediction method for net profit based on historical net profit distribution, used to estimate the dividend amounts of constituent stocks[7][50][52]. - The report outlines the method for predicting the dividend payout ratio using historical dividend rates, and the method for predicting the ex-dividend date based on the stability of historical interval days[8][53][54][56]. - The report evaluates the accuracy of the dividend point estimation model by comparing the predicted dividend points with the actual dividend points for various indices in 2024 and 2025, showing high accuracy for the Shanghai Stock Exchange 50 Index and the CSI 300 Index[9][60][64]. - The report includes charts and tables that illustrate the changes in the basis of major futures contracts since 2020, the term structure of the basis, and the historical percentile levels of the basis for different contracts[10][18][26][28][32][33].

- 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[42][11][43] - The dividend point estimation formula is presented as follows: $$\text{Dividend Points} = \sum_{n=1}^{N} \frac{\text{Dividend Amount of Component Stock}}{\text{Total Market Value of Component Stock}} \times \text{Component Stock Weight} \times \text{Index Closing Price}$$ This formula requires the dividend date of component stocks to be greater than the current date and less than or equal to the futures contract expiration date[42][43][45] - The estimation process involves several steps: 1. Determining whether the company has disclosed dividend amounts and dates. If not, estimating these values based on historical data[45] 2. Estimating dividend amounts using the formula: $$\text{Dividend Amount} = \text{Net Profit} \times \text{Dividend Payout Ratio}$$ Net profit is predicted dynamically based on historical profit distributions, while the dividend payout ratio is estimated using historical averages[50][52][53] 3. Predicting the ex-dividend date using a linear extrapolation method based on historical intervals between dividend announcements and ex-dividend dates[54][59][57] - The report highlights the accuracy of the dividend point estimation model, showing that for indices like the SSE 50 and CSI 300, the annual prediction error is within 5 points, while for CSI 500 and CSI 1000, the error is around 10 points[60][64][66] - The report also tracks the premium or discount levels of major stock index futures contracts (IH, IF, IC, IM), analyzing their historical trends and current positions in historical percentiles. For example, IH is at the 23rd percentile, IF at the 34th, IC at the 64th, and IM at the 57th percentile[27][29][34]

Group 1: Dividend Progress of Constituent Stocks - As of March 11, 2026, in the SSE 50 Index, 0 companies are in the proposal stage, 0 in the decision stage, 0 in the implementation stage, 1 company has distributed dividends, and 3 companies do not distribute dividends [1] - In the CSI 300 Index, 9 companies are in the proposal stage, 0 in the decision stage, 0 in the implementation stage, 2 companies have distributed dividends, and 24 companies do not distribute dividends [1] - In the CSI 500 Index, 8 companies are in the proposal stage, 1 in the decision stage, 0 in the implementation stage, 0 companies have distributed dividends, and 65 companies do not distribute dividends [1] - In the CSI 1000 Index, 9 companies are in the proposal stage, 0 in the decision stage, 1 in the implementation stage, 0 companies have distributed dividends, and 223 companies do not distribute dividends [1] Group 2: Dividend Yield Comparison by Industry - The current dividend yields of disclosed dividend proposals show that the banking, coal, and steel industries rank the top three in terms of yield [1][3] Group 3: Realized and Remaining Dividend Yields - As of March 11, 2026, the realized dividend yield for the SSE 50 Index is 0.00%, with a remaining yield of 2.77% [1][7] - The realized dividend yield for the CSI 300 Index is 0.00%, with a remaining yield of 2.12% [1][7] - The realized dividend yield for the CSI 500 Index is 0.00%, with a remaining yield of 1.10% [1][7] - The realized dividend yield for the CSI 1000 Index is 0.00%, with a remaining yield of 0.86% [1][7] Group 4: Tracking of Index Futures Premiums and Discounts - As of March 11, 2026, the annualized discount for the IH main contract is 2.09%, for the IF main contract is 15.09%, for the IC main contract is 20.91%, and for the IM main contract is 24.50% [1][3] - The tracking of index futures premiums and discounts considers the impact of constituent stock dividends on index point levels [2][25] Group 5: Methodology for Dividend Point Estimation - The methodology for estimating dividend points considers the difference between price indices and total return indices, where dividends lead to a natural drop in index points [25][31] - The estimation process involves calculating the dividend points based on the dividend amounts, total market capitalization, and index closing prices of constituent stocks [31][33]

Quantitative Models and Construction Methods 1. Model Name: Dividend Point Estimation Model - **Model Construction Idea**: The model aims to estimate the dividend points of index futures by considering the impact of component stock dividends on the index points[12][43]. - **Model Construction Process**: 1. **Component Stock Weight**: Adjust the weight of component stocks from non-precise estimation to precise acquisition using daily closing weight data provided by the China Securities Index Company[49][50]. 2. **Net Profit Prediction**: Use a dynamic prediction method based on historical net profit distribution. For companies with stable profit distribution, predict according to historical patterns; for those with unstable distribution, use the previous year's profit as the prediction value[51][53]. 3. **Dividend Payout Ratio Prediction**: Use historical dividend payout ratios to estimate the current year's ratio. If the company paid dividends last year, use last year's ratio; if not, use the average of the past three years[54][57]. 4. **Ex-Dividend Date Prediction**: Predict the ex-dividend date based on the stability of the interval days between the announcement and the ex-dividend date in the past three years. If the interval is stable, use the average interval for linear extrapolation; otherwise, use a default date[55][60]. 5. **Formula**: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Component Stock Dividend Amount}}{\text{Component Stock Total Market Value}} \times \text{Component Stock Weight} \times \text{Index Closing Price} \right) $$ where the ex-dividend date should be greater than the current date and less than or equal to the index futures contract expiration date[43]. - **Model Evaluation**: The model shows high accuracy in predicting the dividend points for major indices like the SSE 50 and CSI 300, with errors generally within 5 points. For the CSI 500 and CSI 1000 indices, the prediction error is slightly larger but still stable within 10 points[61][65]. Model Backtesting Results - **SSE 50 Index Futures**: The predicted dividend points closely match the actual dividend points, with minor deviations observed in 2024 and 2025[68][69]. - **CSI 300 Index Futures**: The model accurately predicts the dividend points, with the actual points aligning well with the predictions for both 2024 and 2025[70][73]. - **CSI 500 Index Futures**: The prediction accuracy is slightly lower compared to the SSE 50 and CSI 300, but the model still performs well with deviations within acceptable ranges[74][76]. - **CSI 1000 Index Futures**: Similar to the CSI 500, the model's predictions are reasonably accurate, with deviations observed but within a manageable range[77][78]. Quantitative Factors and Construction Methods 1. Factor Name: Dividend Yield Factor - **Factor Construction Idea**: The factor is constructed to capture the dividend yield of stocks, which is calculated as the dividend amount divided by the current market value[2][15]. - **Factor Construction Process**: 1. **Data Collection**: Gather the dividend plans and current market values of stocks that have disclosed their dividend plans[2][15]. 2. **Calculation**: Compute the dividend yield for each stock using the formula: $$ \text{Dividend Yield} = \frac{\text{Dividend Amount}}{\text{Current Market Value}} $$ - **Factor Evaluation**: The dividend yield factor is effective in identifying stocks with high dividend yields, with the banking, coal, and steel industries ranking the highest in terms of dividend yield[2][15]. Factor Backtesting Results - **Dividend Yield Factor**: The factor shows that the banking, coal, and steel industries have the highest median dividend yields among the disclosed dividend plans[2][15].

Group 1: Dividend Progress of Constituent Stocks - As of March 4, 2026, in the SSE 50 Index, 0 companies are in the proposal stage, 0 in the decision stage, 0 in the implementation stage, 1 company has distributed dividends, and 3 companies do not distribute dividends [1] - In the CSI 300 Index, 1 company is in the proposal stage, 0 in the decision stage, 1 in the implementation stage, 1 company has distributed dividends, and 24 companies do not distribute dividends [1] - In the CSI 500 Index, 5 companies are in the proposal stage, 0 in the decision stage, 2 in the implementation stage, 0 companies have distributed dividends, and 65 companies do not distribute dividends [1] - In the CSI 1000 Index, 4 companies are in the proposal stage, 1 in the decision stage, 0 in the implementation stage, 0 companies have distributed dividends, and 224 companies do not distribute dividends [1] Group 2: Dividend Yield Comparison by Industry - The current dividend yields of disclosed dividend proposals show that the coal, banking, and steel industries rank the top three in terms of yield [2][3] Group 3: Achieved and Remaining Dividend Yields - As of March 4, 2026, the achieved dividend yield for the SSE 50 Index is 0.00%, with a remaining yield of 2.80% [8] - The achieved dividend yield for the CSI 300 Index is 0.00%, with a remaining yield of 2.14% [8] - The achieved dividend yield for the CSI 500 Index is 0.00%, with a remaining yield of 1.14% [8] - The achieved dividend yield for the CSI 1000 Index is 0.00%, with a remaining yield of 0.89% [8] Group 4: Tracking of Index Futures Premium/Discount - As of March 4, 2026, the annualized discount for the IH main contract is 1.54%, for the IF main contract is 5.76%, for the IC main contract is 8.08%, and for the IM main contract is 8.54% [1][3] - The report includes daily tracking of the index futures premium/discount levels, considering the impact of constituent stock dividends on the index [2][24] Group 5: Methodology for Dividend Point Estimation - The report outlines a methodology for estimating dividend points for index futures, emphasizing the importance of accounting for dividend impacts on index levels [24][26] - The methodology includes obtaining constituent stock weights, dividend amounts, total market capitalization, and index closing prices to accurately estimate dividend points [26][28] - The report also discusses the dynamic forecasting of net profit and dividend payout ratios based on historical distributions [29][34]

========= - The report tracks the dividend progress of constituent stocks in major indices as of March 4, 2026, including the Shanghai Stock Exchange 50 Index, CSI 300 Index, CSI 500 Index, and CSI 1000 Index[2][15] - The dividend yield comparison of industry constituent stocks shows that the banking, coal, and steel industries rank top three in terms of dividend yield[3][16] - The realized and remaining dividend yields for major indices as of March 4, 2026, are provided, with the Shanghai Stock Exchange 50 Index having a remaining dividend yield of 2.80%, the CSI 300 Index 2.14%, the CSI 500 Index 1.14%, and the CSI 1000 Index 0.89%[4][18] - The futures contracts' premium and discount tracking as of March 4, 2026, shows the annualized discount rates for IH, IF, IC, and IM main contracts[5][14] - The methodology for calculating index dividend points is introduced, including the estimation of constituent stock weights, net profit prediction, dividend payout ratio prediction, and ex-dividend date prediction[10][44][45][47] - The accuracy of the index dividend point calculation is analyzed, showing that the model has high prediction accuracy for the Shanghai Stock Exchange 50 Index and CSI 300 Index, with errors around 5 points, and slightly larger errors for the CSI 500 Index and CSI 1000 Index, around 10 points[62][66] - The report includes charts showing the historical premium and discount levels of main futures contracts, the dividend progress of major indices, and the prediction accuracy of index dividend points[19][21][23][37][38][39][42][63][69][71][75][77][79] =========

- The report discusses the methodology for calculating dividend points in stock indices, which is crucial for accurately estimating the premium or discount in stock index futures contracts. The calculation considers the dividend impact of index constituent stocks, which naturally causes the index level to drop in price indices but is reinvested in total return indices[12][42][45] - The dividend points are calculated using the formula: $$\text{Dividend Points} = \sum_{n=1}^{N} \frac{\text{Dividend Amount of Stock}_n}{\text{Total Market Value of Stock}_n} \times \text{Weight of Stock}_n \times \text{Index Closing Price}$$ Here, \(N\) represents the number of constituent stocks, and the calculation only includes stocks with ex-dividend dates between the current date and the futures contract expiration date[42][45] - The methodology for estimating key parameters includes: 1. **Constituent Stock Weights**: Adjusted daily using the formula: $$W_{n,t} = \frac{w_{n0} \times (1 + r_n)}{\sum_{i=1}^{N} w_{i0} \times (1 + r_i)}$$ where \(w_{n0}\) is the weight of stock \(n\) on the last disclosed date, and \(r_n\) is the non-adjusted return of stock \(n\) since that date[46] 2. **Dividend Amounts**: Estimated as the product of net profit and dividend payout ratio. If not disclosed, net profit is predicted using historical profit distribution patterns, and the payout ratio is estimated using historical averages[48][51] 3. **Ex-Dividend Dates**: Predicted using historical patterns and linear extrapolation based on the stability of the time interval between announcement and ex-dividend dates[52][57] - The accuracy of the dividend point estimation model is evaluated by comparing predicted and actual dividend points for indices like SSE 50, CSI 300, CSI 500, and CSI 1000. The model shows high accuracy, with errors generally within 5 points for SSE 50 and CSI 300, and within 10 points for CSI 500 and CSI 1000[58][62][65]

证券研究报告 | 2026年01月28日 股指分红点位监控周报 各主力合约罕见持续升水 核心观点 金融工程周报 成分股分红进度 截至 2026 年 1 月 28 日： 上证 50 指数中，有 0 家公司处于预案阶段，1 家公司处于决案阶段，0 家公 司进入实施阶段，0 家公司已分红，3 家公司不分红； 沪深 300 指数中，有 0 家公司处于预案阶段，1 家公司处于决案阶段，0 家 公司进入实施阶段，0 家公司已分红，25 家公司不分红； 中证 500 指数中，有 0 家公司处于预案阶段，1 家公司处于决案阶段，0 家 公司进入实施阶段，0 家公司已分红，67 家公司不分红； 中证 1000 指数中，有 1 家公司处于预案阶段，0 家公司处于决案阶段，0 家公司进入实施阶段，0 家公司已分红，205 家公司不分红。 行业成分股股息率比较 我们对当前已披露分红预案的个股股息率进行了统计，其中，银行、煤炭和 钢铁行业的股息率排名前三。 已实现及剩余股息率 截至 2026 年 1 月 28 日： 上证 50 指数已实现股息率为 0.00%，剩余股息率 2.29%； 沪深 300 指数已实现股息率为 0.00%，剩余 ...

- The report introduces a quantitative model for estimating dividend points in stock indices, which is crucial for accurately assessing the premium or discount in stock index futures contracts. The model considers the impact of component stock dividends on index points, which is essential for futures pricing[12][41][42] - The model calculates the dividend points of an index during the period from the current date (t) to the futures contract expiration date (T) using the formula: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount of Component Stock}}{\text{Total Market Value of Component Stock}} \times \text{Weight of Component Stock} \times \text{Index Closing Price} \right) $$ Here, \(N\) represents the number of component stocks, and the formula only includes stocks with ex-dividend dates between \(t\) and \(T\)[41][42][45] - The model refines the estimation of component stock weights by transitioning from approximate monthly data to precise daily data. The weight of a stock on a given day is calculated as: $$ W_{n,t} = \frac{w_{n0} \times (1 + r_n)}{\sum_{i=1}^{N} w_{i0} \times (1 + r_i)} $$ where \(w_{n0}\) is the weight of stock \(n\) on the last disclosed date, and \(r_n\) is the non-adjusted return of stock \(n\) from the last disclosed date to the current date[48][49] - The model estimates the dividend amount for stocks that have not disclosed their dividend plans by predicting net profit and dividend payout ratios. The dividend amount is calculated as: $$ \text{Dividend Amount} = \text{Net Profit} \times \text{Dividend Payout Ratio} $$ Net profit is predicted using historical profit distribution patterns, while the dividend payout ratio is estimated based on historical averages[50][53][56] - The model predicts ex-dividend dates using a linear extrapolation method based on the stability of historical intervals between dividend announcement and ex-dividend dates. If historical data is unavailable or unreliable, default dates are assigned based on typical market practices[54][59] - The accuracy of the model is evaluated by comparing predicted dividend points with actual dividend points for major indices (e.g., SSE 50, CSI 300, CSI 500, CSI 1000). The model demonstrates high accuracy, with prediction errors generally within 5 points for SSE 50 and CSI 300, and within 10 points for CSI 500 and CSI 1000[60][64][67] - The model's predictions for stock index futures contracts' dividend points also show strong alignment with actual values, indicating its reliability for futures pricing[64][67][69]

Group 1 - The core viewpoint of the article emphasizes the tracking of dividend progress and yield across various stock indices, highlighting the current status of dividend announcements and the implications for index performance [1][3][19] - As of January 14, 2026, the dividend progress for major indices shows that several companies are in the proposal stage, with no companies having implemented dividends yet, indicating a cautious approach to dividend distribution [1][3] - The article provides a comparative analysis of dividend yields across different sectors, with coal, banking, and steel industries ranking the highest in terms of dividend yield [2][4] Group 2 - The realized and remaining dividend yields for major indices as of January 14, 2026, are as follows: Shanghai 50 Index has a realized yield of 0.00% and a remaining yield of 2.38%; CSI 300 Index has a realized yield of 0.02% and a remaining yield of 1.84%; CSI 500 Index has a realized yield of 0.00% and a remaining yield of 1.08%; CSI 1000 Index has a realized yield of 0.00% and a remaining yield of 0.87% [8][7][19] - The article discusses the annualized premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 1.27%, while the IC main contract has an annualized discount of 0.94% [1][4][13] Group 3 - The article outlines the methodology for estimating dividend points for stock indices, emphasizing the importance of accounting for dividend distributions in the calculation of futures premiums [24][26] - It details the process of estimating individual stock weights and dividend amounts, which are crucial for accurate dividend point calculations [27][29] - The article also highlights the predictive accuracy of the dividend point estimation model, showing that it performs well for major indices, with errors generally within acceptable ranges [38][40]