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IH及IF主力合约升水,IC及IM合约深贴水【股指分红监控】
量化藏经阁· 2025-07-09 15:49
Key Points - The article discusses the dividend progress of constituent stocks in major indices as of July 9, 2025, highlighting the number of companies at various stages of dividend declaration and implementation [1][3][9] - It provides a comparison of dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [4] - The realized and remaining dividend yields for major indices are presented, with the Shanghai 50 Index having a realized yield of 1.39% and a remaining yield of 0.88% [8] - The article tracks the premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 11.15% while the IC main contract has an annualized discount of 11.69% [1][3] Group 1: Dividend Progress of Constituent Stocks - As of July 9, 2025, in the Shanghai 50 Index, there are 0 companies in the proposal stage, 10 in the decision stage, 8 in the implementation stage, 29 that have paid dividends, and 3 that have not [1] - In the CSI 300 Index, there are 2 companies in the proposal stage, 73 in the decision stage, 31 in the implementation stage, 168 that have paid dividends, and 26 that have not [1] - The CSI 500 Index shows 1 company in the proposal stage, 64 in the decision stage, 34 in the implementation stage, 324 that have paid dividends, and 77 that have not [1][9] - The CSI 1000 Index has 1 company in the proposal stage, 83 in the decision stage, 67 in the implementation stage, 639 that have paid dividends, and 210 that have not [1][9] Group 2: Dividend Yield Comparison - The article presents a statistical analysis of the current dividend yields of stocks with disclosed dividend proposals, with coal, banking, and steel industries ranking the highest [4] - The realized dividend yields for major indices as of July 9, 2025, are as follows: Shanghai 50 Index at 1.39% with a remaining yield of 0.88%, CSI 300 Index at 1.13% with a remaining yield of 0.78%, CSI 500 Index at 1.03% with a remaining yield of 0.26%, and CSI 1000 Index at 0.79% with a remaining yield of 0.17% [8] Group 3: Stock Index Futures Premium and Discount - The article tracks the annualized premium and discount of stock index futures as of July 9, 2025, with the IH main contract at 11.15% premium, IF main contract at 1.48% premium, IC main contract at 11.69% discount, and IM main contract at 16.65% discount [1][3] - It emphasizes the importance of considering the impact of constituent stock dividends on the calculation of futures premiums and discounts [2]
股指分红点位监控周报:H及IF主力合约升水,IC及IM合约均深贴水-20250709
Guoxin Securities· 2025-07-09 14:39
Quantitative Models and Construction Methods - **Model Name**: Index Dividend Points Estimation Model **Model Construction Idea**: This model estimates the dividend points of index constituents to account for the natural drop in index levels caused by dividend ex-dates, which is critical for accurately calculating the basis and premium/discount levels of stock index futures[12][38][44] **Model Construction Process**: 1. Identify the index constituents and their weights. If daily weights are unavailable, adjust monthly weights 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 \( n \) from the last disclosed date to the current date[45][46] 2. Estimate the dividend amount for each constituent: - If disclosed, use the reported dividend amount - If not disclosed, estimate using: $$ \text{Dividend Amount} = \text{Net Profit} \times \text{Dividend Payout Ratio} $$ - Net profit is predicted using historical profit distribution patterns, distinguishing between stable and unstable profit distributions[47][50] - Dividend payout ratio is estimated using historical averages or prior-year values, with adjustments for outliers[51][53] 3. Predict the ex-dividend date using historical intervals and linear extrapolation, or default to specific dates if historical data is unavailable[55][56] 4. Calculate the dividend points for the index: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount}_n}{\text{Market Cap}_n} \times \text{Weight}_n \times \text{Index Closing Price} \right) $$ where \( n \) represents each constituent, and only constituents with ex-dividend dates between the current date and the futures contract expiration date are included[38][44] **Model Evaluation**: The model demonstrates high accuracy for indices like the SSE 50 and CSI 300, with prediction errors generally within 5 points. However, the error margin for the CSI 500 index is slightly larger, around 10 points[57][61] Model Backtesting Results - **Index Dividend Points Estimation Model**: - SSE 50 Index: Prediction error ~5 points[61] - CSI 300 Index: Prediction error ~5 points[61] - CSI 500 Index: Prediction error ~10 points[61] Quantitative Factors and Construction Methods - **Factor Name**: Historical Profit Distribution Factor **Factor Construction Idea**: This factor predicts net profit by analyzing historical profit distribution patterns, distinguishing between stable and unstable distributions[50] **Factor Construction Process**: 1. Classify companies into stable or unstable profit distribution categories based on historical quarterly profit data 2. For stable distributions, use historical patterns to predict future profits 3. For unstable distributions, use the previous year's profit as the prediction[50] **Factor Evaluation**: Effective for companies with consistent profit patterns but less reliable for those with volatile earnings[50] - **Factor Name**: Historical Dividend Payout Ratio Factor **Factor Construction Idea**: This factor estimates the dividend payout ratio using historical averages or prior-year values, with adjustments for extreme values[51] **Factor Construction Process**: 1. Use the prior year's payout ratio if the company paid dividends last year 2. Use the average payout ratio of the last three years if no dividends were paid last year 3. Assume no dividends if the company has never paid dividends 4. Apply truncation if the estimated payout ratio exceeds 100%[53] **Factor Evaluation**: Reliable for companies with stable dividend policies but may overestimate for companies with irregular payouts[51][53] - **Factor Name**: Ex-Dividend Date Prediction Factor **Factor Construction Idea**: This factor predicts ex-dividend dates using historical intervals and linear extrapolation[55] **Factor Construction Process**: 1. Use the disclosed ex-dividend date if available 2. If unavailable, estimate based on historical intervals between announcement and ex-dividend dates 3. Default to specific dates (e.g., July 31, August 31, or September 30) if historical data is insufficient[56] **Factor Evaluation**: Accurate for most companies, with 90% of predictions falling within expected timeframes[56] Factor Backtesting Results - **Historical Profit Distribution Factor**: Effective for stable profit companies, less so for volatile ones[50] - **Historical Dividend Payout Ratio Factor**: Reliable for stable dividend policies, prone to overestimation for irregular payouts[51][53] - **Ex-Dividend Date Prediction Factor**: 90% accuracy for companies with historical data, with most predictions aligning with expected timelines[56]
大越期货股指期货早报-20250707
Da Yue Qi Huo· 2025-07-07 03:37
Report Summary 1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints - The market showed a pattern of rising and then falling last Friday, with the index oscillating strongly throughout the week, and a rotation of hotspots between large - and small - cap stocks [3]. - The balance of margin trading increased by 1 billion yuan to 1.8429 trillion yuan, presenting a neutral situation [3]. - The basis shows that IH2507 has a discount of 16.95 points, and IF2507 has a discount of 21.47 points, which is neutral. IC2507 has a discount of 48.66 points, and IM2507 has a discount of 63.24 points, indicating a bearish signal [3]. - The main contracts are ranked as IM > IC > IF > IH. All of them are above the 20 - day moving average, showing a bullish sign [3]. - Regarding the positions of the main players, the long positions of IH main players decreased, those of IF main players increased, and those of IC main players decreased, overall showing a bullish tendency [3]. - With the relaxation of mutual sanctions between China and the US and the cooling of geopolitical tensions, the global market risk appetite has increased. The index is expected to oscillate strongly. After adjustment, the banking sector rebounded, while small - and medium - cap stocks are oscillating at high levels. Attention should be paid to whether the trading volume can further increase, and intraday chasing of highs is not recommended [3]. 3. Summary by Relevant Catalogs Futures Market - **IH Contracts**: For IH2507, the contract price is 2,723.00 with a 0.61% increase, and the trading volume is 19,657. Different contracts have different discounts, spreads, and annualized discounts [4]. - **IF Contracts**: IF2507 has a contract price of 3,963.80 with a 0.44% increase and a trading volume of 43,577. Each contract has its own discount, spread, and annualized discount [4]. - **IC Contracts**: IC2507 has a contract price of 5,874.20 with a - 0.01% change and a trading volume of 43,750. Contracts show various discounts, spreads, and annualized discounts [4]. - **IM Contracts**: IM2507 has a contract price of 6,262.00 with a - 0.29% change and a trading volume of 67,153. Different contracts have different discount and spread situations [4]. Spot Market - **Important Indexes**: The Shanghai Composite Index, SSE 50, CSI 300, and other important indexes have different daily price changes. For example, the SSE 50 had a 0.58% increase [12]. - **Style Indexes**: Different style indexes such as the 300 Cycle, 300 Non - Cycle, and others also showed various daily price changes [15][18]. Market Structure - **AH Share Premium**: The Hang Seng AH Premium Index shows a certain trend over time [21]. - **PE and PB**: The price - to - earnings ratios (PE) and price - to - book ratios (PB) of SSE 50, CSI 300, CSI 500, and ChiNext Index have long - term trends [24][26]. Market Fundamentals - **Fund Inflow**: The net inflow of A - share funds and the CSI 300 index show corresponding trends [28]. - **Margin Trading Balance**: The margin trading balance and the CSI 300 index have a certain relationship over time [30]. - **Northbound Capital**: The net inflow of northbound capital shows fluctuations [32]. - **Fund Cost**: The SHIBOR overnight, SHIBOR one - week, and SHIBOR two - week rates show trends over time [38]. Market Sentiment - **Turnover Rate**: The turnover rates of SSE 50, CSI 300, CSI 500, and ChiNext Index (based on free - floating market value) show different trends [41][44]. - **Mutual Fund Positions**: The positions of public - offering hybrid funds show a certain trend [46]. Others - **Dividend Yield and Bond Yield**: The dividend yield of index futures and the yield of 10 - year treasury bonds show trends over time [50]. - **Exchange Rate**: The exchange rate of the US dollar against the Chinese yuan shows a certain trend [52].
分红进度过半,各期指主力合约均贴水【股指分红监控】
量化藏经阁· 2025-07-02 14:07
Key Points - The article discusses the dividend progress of constituent stocks in major indices as of July 2, 2025, highlighting the number of companies at various stages of dividend declaration and implementation [1][3][9] - It provides a comparison of dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [4] - The realized and remaining dividend yields for major indices are presented, with the Shanghai 50 Index having a realized yield of 1.28% and a remaining yield of 0.99% [7][18] - The article tracks the premium/discount situation of stock index futures, indicating annualized discounts for various contracts, with the IC contract showing a discount of 10.65% [1][8][12] Dividend Progress of Constituent Stocks - As of July 2, 2025, the dividend status for the Shanghai 50 Index includes 0 companies in the proposal stage, 18 in the decision stage, 2 in the implementation stage, 27 that have paid dividends, and 3 that will not pay dividends [1][3] - For the CSI 300 Index, there are 2 companies in the proposal stage, 102 in the decision stage, 16 in the implementation stage, 154 that have paid dividends, and 26 that will not pay dividends [1][3] - The CSI 500 Index has 2 companies in the proposal stage, 98 in the decision stage, 26 in the implementation stage, 297 that have paid dividends, and 77 that will not pay dividends [1][9] - The CSI 1000 Index shows 1 company in the proposal stage, 148 in the decision stage, 57 in the implementation stage, 584 that have paid dividends, and 210 that will not pay dividends [1][9] Industry Dividend Yield Comparison - The article presents statistics on the current dividend yields of stocks with disclosed dividend proposals, ranking coal, banking, and steel industries as the top three sectors [4] Realized and Remaining Dividend Yields - The realized and remaining dividend yields for major indices as of July 2, 2025, are as follows: - Shanghai 50 Index: Realized yield of 1.28%, remaining yield of 0.99% [7] - CSI 300 Index: Realized yield of 1.07%, remaining yield of 0.87% [7] - CSI 500 Index: Realized yield of 0.95%, remaining yield of 0.35% [7] - CSI 1000 Index: Realized yield of 0.73%, remaining yield of 0.23% [7] Stock Index Futures Premium/Discount Tracking - The article tracks the annualized discounts for stock index futures as of July 2, 2025: - IH main contract: annualized discount of 0.28% [1] - IF main contract: annualized discount of 2.35% [1] - IC main contract: annualized discount of 10.65% [1] - IM main contract: annualized discount of 14.77% [1]
股指分红点位监控周报:分红进度过半,各股指期货主力合约均贴水-20250702
Guoxin Securities· 2025-07-02 13:56
Quantitative Models and Construction Methods - **Model Name**: Index Dividend Points Estimation Model **Model Construction Idea**: This model estimates the dividend points of index constituents to account for the natural decline in index levels caused by dividend ex-dates, which is critical for accurately calculating the basis and premium/discount levels of stock index futures[12][40][43] **Model Construction Process**: 1. **Formula**: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount of Constituent Stock}}{\text{Total Market Value of Constituent Stock}} \times \text{Constituent Stock Weight} \times \text{Index Closing Price} \right) $$ - \(N\): Number of constituent stocks - Dividend amount, total market value, and weight are calculated for each constituent stock[40] 2. **Steps**: - Identify constituent stocks and their weights - For stocks with announced dividend amounts and ex-dates, use the provided data - For stocks without announced data, estimate dividend amounts using historical net profit and payout ratios, and predict ex-dates using historical patterns[41][46][50] - Adjust weights dynamically based on daily price changes using the formula: $$ W_{n,t} = \frac{w_{n0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{i})} $$ - \(w_{n0}\): Initial weight of stock \(n\) - \(r_{n}\): Non-adjusted return of stock \(n\) since the last weight update[44][45] **Model Evaluation**: The model demonstrates high accuracy for indices like the SSE 50 and CSI 300, with prediction errors generally within 5 points. However, the error for the CSI 500 index is slightly larger, around 10 points[56][60] Model Backtesting Results - **Index Dividend Points Estimation Model**: - SSE 50 Index: Prediction error ~5 points[60] - CSI 300 Index: Prediction error ~5 points[60] - CSI 500 Index: Prediction error ~10 points[60] Quantitative Factors and Construction Methods - **Factor Name**: Net Profit Prediction Factor **Factor Construction Idea**: Predict net profit dynamically based on historical profit distribution patterns to estimate dividend amounts for constituent stocks[46][49] **Factor Construction Process**: 1. Classify companies into "stable" and "unstable" profit distribution categories based on historical data 2. For stable companies, use historical profit distribution patterns for prediction 3. For unstable companies, use the previous year's profit as the prediction value[49][51] **Factor Evaluation**: The dynamic prediction method effectively captures profit trends for most companies, providing a reliable basis for dividend estimation[49] - **Factor Name**: Dividend Payout Ratio Prediction Factor **Factor Construction Idea**: Use historical payout ratios to estimate the current year's payout ratio for companies without announced data[50] **Factor Construction Process**: 1. If the company paid dividends last year, use last year's payout ratio 2. If no dividends were paid last year, use the average payout ratio of the past three years 3. If the company has never paid dividends, assume no dividends for the current year 4. Cap the payout ratio at 100% if it exceeds this threshold[52] **Factor Evaluation**: Historical payout ratios provide a stable and effective basis for prediction, especially for companies with consistent dividend policies[50][52] - **Factor Name**: Ex-Dividend Date Prediction Factor **Factor Construction Idea**: Predict ex-dividend dates using historical intervals between announcement and ex-dividend dates, with adjustments for outliers[50][55] **Factor Construction Process**: 1. If the ex-dividend date is announced, use the provided date 2. If not announced, estimate based on historical intervals between announcement and ex-dividend dates 3. Apply default dates (e.g., July 31, August 31, or September 30) if historical data is insufficient or inconsistent[55] **Factor Evaluation**: The method captures the majority of ex-dividend dates accurately, with over 90% of companies completing dividends by the end of July[55] Factor Backtesting Results - **Net Profit Prediction Factor**: High accuracy for stable companies; less reliable for companies with volatile profit distributions[49] - **Dividend Payout Ratio Prediction Factor**: Effective for companies with consistent payout policies; less applicable for companies with irregular dividend histories[50][52] - **Ex-Dividend Date Prediction Factor**: Accurately predicts dates for over 90% of companies, with most dividends completed by July[55]
IH及IF合约升水,IC及IM贴水加速收敛【股指分红监控】
量化藏经阁· 2025-06-25 14:05
Key Points - The article discusses the dividend progress of constituent stocks in various indices as of June 25, 2025, highlighting the number of companies at different stages of dividend declaration and implementation [1][4][27] - It provides a comparison of dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [2][3] - The realized and remaining dividend yields for major indices are presented, with the Shanghai 50 Index having a realized yield of 0.81% and a remaining yield of 1.45% [11][10] - The article tracks the premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 7.56% while the IC main contract has an annualized discount of 3.62% [1][22] Dividend Progress of Constituent Stocks - As of June 25, 2025, the Shanghai 50 Index has 9 companies in the proposal stage, 13 in the decision stage, 5 in the implementation stage, 20 that have paid dividends, and 3 that have not [1][4] - The CSI 300 Index has 44 companies in the proposal stage, 77 in the decision stage, 30 in the implementation stage, 123 that have paid dividends, and 26 that have not [1][4] - The CSI 500 Index has 37 companies in the proposal stage, 89 in the decision stage, 39 in the implementation stage, 258 that have paid dividends, and 77 that have not [1][4] - The CSI 1000 Index has 40 companies in the proposal stage, 159 in the decision stage, 54 in the implementation stage, 529 that have paid dividends, and 218 that have not [1][4] Industry Dividend Yield Comparison - The article provides statistics on the dividend yields of stocks that have disclosed dividend proposals, with coal, banking, and steel industries ranking the highest [2][3] Realized and Remaining Dividend Yields - The realized dividend yields as of June 25, 2025, are as follows: - Shanghai 50 Index: 0.81% realized, 1.45% remaining [11] - CSI 300 Index: 0.79% realized, 1.14% remaining [11] - CSI 500 Index: 0.86% realized, 0.47% remaining [11] - CSI 1000 Index: 0.71% realized, 0.32% remaining [11] Stock Index Futures Premium and Discount Tracking - The article tracks the annualized premium and discount of stock index futures as of June 25, 2025: - IH main contract: 7.56% premium [1][22] - IF main contract: 2.64% premium [1][22] - IC main contract: 3.62% discount [1][22] - IM main contract: 6.77% discount [1][22]
大越期货股指期货早报-20250620
Da Yue Qi Huo· 2025-06-20 01:42
交易咨询业务资格:证监许可【2012】1091号 股指期货早报- 2025年6月20日 大越期货投资咨询部 杜淑芳 从业资格证号:F0230469 投资咨询证号:Z0000690 联系方式:0575-85226759 重要提示:本报告非期货交易咨询业务项下服务,其中的观点和信息仅作参考之用,不构成对任何人的投资建议。 我司不会因为关注、 收到或阅读本报告内容而视相关人员为客户;市场有风险,投资需谨慎。 早评 期指 IC2507贴水59.43点,IM2507贴水77.02点,偏空 4、盘面:IM>IC>IF> IH(主力),IM、IC、IF在20日均线上方,偏多 IH在20日均线下方,偏空 期债 1、基本面:受到以伊局势不确定性,港股和A股小微盘指数连续下跌,市场热点减少;偏空 2、资金:融资余额18167亿元,增加14亿元;中性 3、基差:IH2507贴水45.32点,IF2507贴水44.69点,中性 股指期货升贴水表 期货市场-上证50基差与价差 -150 -100 -50 0 50 100 150 200 2021/11/10 2021/12/16 2022/1/24 2022/3/7 2022/4/1 ...
6月合约即将到期,IH升水,IC及IM均深贴水【股指分红监控】
量化藏经阁· 2025-06-18 15:34
一 、成分股分红进度 截至2025年6月18日: 上证50指数中,有11家公司处于预案阶段,16家公司处于决案阶段,6家公司进入 实施阶段,14家公司已分红,3家公司不分红; 沪深300指数中,有65家公司处于预案阶段,87家公司处于决案阶段,23家公司 进入实施阶段,99家公司已分红,26家公司不分红; 中证500指数中,有55家公司处于预案阶段,107家公司处于决案阶段,46家公司 进入实施阶段,215家公司已分红,77家公司不分红; 中证1000指数中,有59家公司处于预案阶段,195家公司处于决案阶段,81家公 司进入实施阶段,447家公司已分红,218家公司不分红。 二、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,煤炭、银行和钢铁行业的股 息率排名前三。 三、已实现及剩余股息率 截至2025年6月18日: 上证50指数已实现股息率为0.43%,剩余股息率1.90%; 沪深300指数已实现股息率为0.61%,剩余股息率1.37%; 中证500指数已实现股息率为0.74%,剩余股息率0.61%; 中证1000指数已实现股息率为0.60%,剩余股息率0.45%。 四、股指期 ...
股指分红点位监控周报:6月合约即将到期,IH升水,IC及IM均深贴水-20250618
Guoxin Securities· 2025-06-18 15:20
股指分红点位监控周报 6 月合约即将到期,IH 升水,IC 及 IM 均深贴水 证券研究报告 | 2025年06月18日 成分股分红进度 截至 2025 年 6 月 18 日: 上证 50 指数中,有 11 家公司处于预案阶段,16 家公司处于决案阶段,6 家公司进入实施阶段,14 家公司已分红,3 家公司不分红; 沪深 300 指数中,有 65 家公司处于预案阶段,87 家公司处于决案阶段,23 家公司进入实施阶段,99 家公司已分红,26 家公司不分红; 中证 500 指数中,有 55 家公司处于预案阶段,107 家公司处于决案阶段, 46 家公司进入实施阶段,215 家公司已分红,77 家公司不分红; 中证 1000 指数中,有 59 家公司处于预案阶段,195 家公司处于决案阶段, 81 家公司进入实施阶段,447 家公司已分红,218 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,煤炭、银行和 钢铁行业的股息率排名前三。 已实现及剩余股息率 截至 2025 年 6 月 18 日: 上证 50 指数已实现股息率为 0.43%,剩余股息率 1.90%; 沪深 ...
大越期货股指期货早报-20250612
Da Yue Qi Huo· 2025-06-12 02:46
大越期货投资咨询部 杜淑芳 从业资格证号:F0230469 投资咨询证号:Z0000690 联系方式:0575-85226759 重要提示:本报告非期货交易咨询业务项下服务,其中的观点和信息仅作参考之用,不构成对任何人的投资建议。 我司不会因为关注、 收到或阅读本报告内容而视相关人员为客户;市场有风险,投资需谨慎。 交易咨询业务资格:证监许可【2012】1091号 股指期货早报- 2025年6月12日 早评 期指 IC2506贴水31.75点,IM2506贴水42.51点,偏空 4、盘面:IM>IC>IF> IH(主力),IM、IC、IF在20日均线上方,偏多 IH在20日均线下方,偏空 1、基本面:地缘风险不确定性原油大涨,昨日两市缩量上涨,沪指站上3400关口,港股相对更加强 势,市场热点轮动;偏多 2、资金:融资余额18047亿元,增加9亿元;中性 3、基差:IH2506贴水9.74点,IF2506贴水15.83点,中性 5、主力持仓: IH主力多减,IF 主力多增,IC 主力多减,偏多 6、预期:中美已同意一个贸易框架将各自汇报领导人,国内指数仍处于震荡上行趋势,不过上方压 力有所增加,目前位置大幅上 ...