- The report introduces the dividend point estimation method for stock indices, emphasizing its importance in accurately calculating the premium or discount levels of stock index futures contracts, which track price indices rather than total return indices[39][12][44] - The dividend point estimation formula is provided as follows: $$ \text{Dividend Points} = \sum_{n=1}^{N} \frac{\text{Dividend Amount of Component Stock}}{\text{Total Market Value of Component Stock}} \times \text{Weight of Component Stock} \times \text{Index Closing Price} $$ This formula requires the dividend amount, total market value, weight of component stocks, and index closing price, with the condition that the ex-dividend date of the stock must fall between the current date and the futures contract expiration date[39][44][45] - The report details the process of estimating component stock weights, transitioning from imprecise monthly data to precise daily data provided by the China Securities Index Company, ensuring accuracy in daily weight calculations[45][46] - The estimation of dividend amounts involves predicting net profits and dividend payout ratios. Net profit prediction uses historical profit distribution dynamics, categorizing companies into stable and unstable profit distribution groups, and applying respective methods for estimation[47][50][52] - Dividend payout ratio prediction employs historical averages, with adjustments based on past dividend behavior. Companies with no dividend history are assumed not to pay dividends, and ratios exceeding 100% are capped[51][53][56] - Ex-dividend date prediction uses historical intervals for linear extrapolation, considering factors like past dividend dates, shareholder meeting schedules, and default dates for companies with no dividend history[51][55][56] - The accuracy of the dividend point estimation model is validated through comparisons of predicted and actual dividend points for indices like the SSE 50, CSI 300, and CSI 500. The model demonstrates high accuracy, with errors generally within 5 points for SSE 50 and CSI 300, and slightly larger errors for CSI 500, around 10 points[57][61][66]

Group 1 - The core viewpoint of the article emphasizes the tracking of dividend progress and yield across major stock indices, highlighting the lack of dividend announcements from many companies within these indices as of October 22, 2025 [1][3][5] - The article provides a detailed comparison of dividend yields across different industries, with coal, banking, and steel sectors ranking the highest [5][9] - The realized and remaining dividend yields for major indices are reported, with the Shanghai 50 Index showing a realized yield of 2.26% and a remaining yield of 0.29%, while the CSI 1000 Index shows a realized yield of 0.91% and a remaining yield of 0.03% [9][18] Group 2 - The article tracks the premium and discount of stock index futures, noting that as of October 22, 2025, the IH main contract has an annualized premium of 0.55%, while the IF, IC, and IM contracts show annualized discounts of 2.85%, 10.08%, and 12.15% respectively [1][4][12] - It discusses the importance of considering dividend impacts when calculating the premium and discount of stock index futures, as dividends can lead to a natural decline in index points [2][24] - The article outlines a systematic approach to estimating dividend points for stock indices, emphasizing the need for accurate data on constituent stock weights and dividend amounts [26][29][30] Group 3 - The article includes a detailed analysis of the dividend progress for various indices, indicating that no companies within the Shanghai 50, CSI 300, CSI 500, and CSI 1000 indices have announced dividends as of the specified date [1][3][18] - It presents a visual representation of the dividend yield trends and remaining yields for the indices since 2025, illustrating the overall dividend landscape [8][9] - The article also highlights the historical context of premium and discount levels for stock index futures, providing insights into market sentiment and investor behavior [10][13][40]

Key Points - The article discusses the dividend progress of constituent stocks in major indices as of October 14, 2025, indicating that no companies in the Shanghai 50, CSI 300, CSI 500, and CSI 1000 indices are in the proposal, decision, or implementation stages for dividends, with a significant number of companies not distributing dividends [1][3][4] - The article highlights that the coal, banking, and steel industries have the highest dividend yields among the disclosed dividend proposals [2][4] - The realized and remaining dividend yields for various indices are reported, with the Shanghai 50 index having a realized yield of 2.22% and a remaining yield of 0.40%, while the CSI 1000 index has a realized yield of 0.88% and a remaining yield of 0.05% [1][8] - The article tracks the premium and discount of stock index futures, noting that as of October 14, 2025, the annualized premium for the IH main contract is 3.27%, while the IC and IM contracts show significant discounts of 16.39% and 18.17%, respectively [1][4][10] - The article emphasizes the importance of considering dividend impacts when calculating the premium and discount of stock index futures, as dividends can lead to a natural drop in index points [2][24] - The article provides a detailed methodology for estimating dividend points for stock indices, which includes assessing constituent stock weights, dividend amounts, and market capitalization [24][26][28] - The article presents historical data on the accuracy of dividend point estimates, showing that the model performs well for the Shanghai 50 and CSI 300 indices, with prediction errors generally within 5 points [38][40]

一 、成分股分红进度 截至2025年9月24日： 上证50指数中，有16家公司处于预案阶段，3家公司处于决案阶段，4家公司进入 实施阶段，24家公司已分红，3家公司不分红； 沪深300指数中，有69家公司处于预案阶段，16家公司处于决案阶段，16家公司 进入实施阶段，174家公司已分红，25家公司不分红； 中证500指数中，有42家公司处于预案阶段，29家公司处于决案阶段，19家公司 进入实施阶段，339家公司已分红，71家公司不分红； 中证1000指数中，有50家公司处于预案阶段，41家公司处于决案阶段，25家公司 进入实施阶段，682家公司已分红，202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9月24日： 上证50指数已实现股息率为2.20%，剩余股息率0.57%； 沪深300指数已实现股息率为1.75%，剩余股息率0.39%； 中证500指数已实现股息率为1.12%，剩余股息率0.12%； 中证1000指数已实现股息率为0.88%，剩余股息率0.07%。 四、股指期货升 ...

Quantitative Models and Construction Methods - **Model Name**: Index Dividend Points Estimation Model **Model Construction Idea**: This model aims to estimate the dividend points of stock indices to account for the impact of constituent stock dividends on index futures' premium/discount levels. It is essential for accurately calculating the basis and premium/discount levels of index futures contracts[11][44][47] **Model Construction Process**: 1. **Formula**: Dividend Points = $ \sum_{n=1}^{N} \frac{\text{Dividend Amount of Constituent Stock}}{\text{Total Market Value of Constituent Stock}} \times \text{Constituent Stock Weight} \times \text{Index Closing Price} $ - \( N \): Number of constituent stocks - Dividend amounts are considered only if the ex-dividend date falls between the current date (\( t \)) and the contract expiration date (\( T \))[44] 2. **Steps**: - Obtain constituent stock weights and index closing prices - For stocks with announced dividend amounts and ex-dividend dates, use the provided data - For stocks without announced data, estimate dividend amounts based on historical net profit and payout ratios, and predict ex-dividend dates using historical patterns[45][47] **Model Evaluation**: The model demonstrates high accuracy for indices like the SSE 50 and CSI 300, with prediction errors around 5 points. However, the accuracy for the CSI 500 index is slightly lower, with errors around 10 points[64] - **Model Name**: Dynamic Prediction of Net Profit **Model Construction Idea**: This model predicts annual net profit for constituent stocks based on historical profit distribution patterns, enabling the estimation of dividend amounts for stocks without disclosed data[50][53] **Model Construction Process**: 1. Classify companies into two categories: stable and unstable profit distribution 2. For stable companies, predict based on historical profit distribution patterns 3. For unstable companies, use the previous year's corresponding period profit as the prediction value[53][55] **Model Evaluation**: The model effectively captures profit trends for stable companies but may face challenges with companies exhibiting irregular profit patterns[53] - **Model Name**: Historical Dividend Payout Ratio Estimation **Model Construction Idea**: This model estimates the dividend payout ratio for constituent stocks based on historical averages, assuming stability in payout ratios for companies with consistent operations[54] **Model Construction Process**: 1. If the company paid dividends last year, use the previous 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% to avoid unrealistic estimates[56] **Model Evaluation**: The model is suitable for companies with stable operations but may not be accurate for firms with volatile financial policies[54] - **Model Name**: Ex-Dividend Date Prediction Model **Model Construction Idea**: This model predicts the ex-dividend dates of constituent stocks based on historical intervals between announcement and ex-dividend dates[54][59] **Model Construction Process**: 1. If the ex-dividend date is announced, use the provided date 2. If not, estimate based on historical intervals between announcement and ex-dividend dates 3. Default dates are used for companies with no historical data or when historical dates are deemed unreliable[59] **Model Evaluation**: The model effectively predicts ex-dividend dates for most companies, with approximately 90% of firms completing dividends by the end of July[59] Model Backtesting Results - **Index Dividend Points Estimation Model**: - SSE 50 Index: Prediction error ~5 points[64] - CSI 300 Index: Prediction error ~5 points[64] - CSI 500 Index: Prediction error ~10 points[64] Quantitative Factors and Construction Methods - **Factor Name**: Constituent Stock Weight Adjustment Factor **Factor Construction Idea**: Adjust constituent stock weights dynamically to reflect daily changes in stock prices and corporate actions[48][49] **Factor Construction Process**: 1. Formula: $ W_{n,t} = \frac{w_{n0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{i})} $ - \( w_{n0} \): Weight of stock \( n \) at the last disclosed date - \( r_{n} \): Non-adjusted return of stock \( n \) since the last disclosed date 2. Use daily disclosed weights from the China Securities Index Company to ensure accuracy[48][49] **Factor Evaluation**: This factor improves the precision of weight adjustments, especially during periods of corporate actions like stock splits or rights issues[49] Factor Backtesting Results - **Constituent Stock Weight Adjustment Factor**: - Daily weight adjustments align closely with disclosed weights, ensuring high accuracy in index calculations[49]

Key Points - The article provides an overview of dividend progress among major stock indices in China as of September 17, 2025, highlighting the number of companies in various stages of dividend announcements and distributions [1][3] - It compares the dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [2][4] - The realized and remaining dividend yields for major indices are detailed, with the Shanghai 50 Index showing a realized yield of 2.18% and a remaining yield of 0.57% [8][7] - The article tracks the premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 1.66%, while the IC and IM contracts show significant discounts [4][19] - A methodology for estimating dividend points for stock indices is discussed, emphasizing the importance of accounting for dividend impacts when calculating futures premiums [31][33] Dividend Progress of Component Stocks - As of September 17, 2025, the Shanghai 50 Index has 21 companies in the proposal stage, 2 in the decision stage, and 24 that have distributed dividends [1][3] - The CSI 300 Index has 86 companies in the proposal stage, 13 in the decision stage, and 167 that have distributed dividends [1][3] - The CSI 500 Index has 59 companies in the proposal stage, 30 in the decision stage, and 323 that have distributed dividends [1][3] - The CSI 1000 Index has 76 companies in the proposal stage, 41 in the decision stage, and 657 that have distributed dividends [1][3] Industry Dividend Yield Comparison - The article presents statistics on the dividend yields of companies that have disclosed dividend proposals, with coal, banking, and steel industries ranking the highest [2][4] Realized and Remaining Dividend Yields - The realized dividend yields as of September 17, 2025, are as follows: - Shanghai 50 Index: 2.18% realized, 0.57% remaining [8] - CSI 300 Index: 1.75% realized, 0.40% remaining [8] - CSI 500 Index: 1.10% realized, 0.14% remaining [8] - CSI 1000 Index: 0.85% realized, 0.09% remaining [8] Stock Index Futures Premium and Discount Tracking - The article tracks the annualized premiums and discounts of stock index futures as of September 17, 2025: - IH main contract: 1.66% premium - IF main contract: 1.19% premium - IC main contract: 9.49% discount - IM main contract: 11.25% discount [4][19] Dividend Point Estimation Methodology - The methodology for estimating dividend points for stock indices is outlined, emphasizing the need to consider dividend impacts on index calculations [31][33]

- The report introduces the method for calculating the dividend points of stock indices, which is crucial for accurately estimating the premium and discount levels of stock index futures contracts. The calculation involves several key indicators such as component stock weights, dividend amounts, total market value of component stocks, and index closing prices[12][41][46] - The component stock weights are obtained from the daily closing weights disclosed by the China Securities Index Company, ensuring the accuracy of daily stock weights[48] - The dividend amount is estimated based on the historical distribution of net profits. For companies with stable profit distribution, historical profit distribution patterns are used for prediction; for companies with unstable profit distribution, the previous year's profit is used as the forecast value[49][52] - The dividend payout ratio is predicted using historical data averages. If a company has paid dividends in the past, the historical payout ratio is used as the estimate for the current year[53][55] - The ex-dividend date is predicted based on the stability of the interval days between the announcement of the dividend plan and the ex-dividend date in the past three years. If the interval days are stable, the average interval days are used for linear extrapolation; otherwise, historical ex-dividend dates are used for estimation[57][58] - The accuracy of the dividend point estimation model is analyzed by comparing the predicted dividend points with the actual dividend points at different time points. The model shows high accuracy for the Shanghai Stock Exchange 50 Index and the CSI 300 Index, with errors within 5 points, while the prediction error for the CSI 500 Index is slightly larger, but still within 10 points[59][63] - The report tracks the premium and discount levels of stock index futures contracts, including the daily basis, the trend of the main contract's premium and discount, the term structure of different contracts' basis, and the current basis level in historical percentiles[12][13][28] - The main contracts of IH, IF, IC, and IM show varying levels of annualized discount rates, with IH at 0.76%, IF at 9.98%, IC at 39.34%, and IM at 43.79%[4][13] - The historical percentile levels of the main contracts' basis indicate that the IH main contract is around the 36th percentile, the IF main contract is at the 23rd percentile, the IC main contract is at the 8th percentile, and the IM main contract is at the 6th percentile[28][29][38] Model Testing Results - IH main contract, annualized discount rate: 0.76%[4] - IF main contract, annualized discount rate: 9.98%[4] - IC main contract, annualized discount rate: 39.34%[4] - IM main contract, annualized discount rate: 43.79%[4]

投资咨询业务资格:证监许可【2012】31号 | C | 国贸期货研究院 宏观金融研究中心 郑雨婷 期货执业证号:F3074875: 投资咨询证号: Z0017779 2025/9/4 | | 品种 | 收盘价 | 较前值变动 | 品种 | 收盘价 | 较前值变动 | | --- | --- | --- | --- | --- | --- | --- | | | | | (bp) | | | (bp) | | हूं | DROO1 | 1.31 | -0.01 | DR007 | 1.44 | 0.40 | | 市 | GC001 | 1.01 | 1.50 | GC007 | 1.44 | -2.50 | | 市 | SHBOR 3M | 1.55 | 0.10 | LPR 5年 | 3.50 | 0.00 | | 场 | 1年期国债 | 1.37 | 0.23 | 5年期国债 | 1.60 | -2.52 | | | 10年期国债 | 1.81 | -1.69 | 10年期美债 | 4.28 | 5.00 | | ் பா 流 | 回顾:央行昨日开展了2291亿元7天期逆回购操作,当日3799亿元逆回购 ...

- 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 factors such as component stock weights, dividend amounts, total market capitalization, and index closing prices[40][43][12] - Component stock weights are refined from monthly estimates to daily precision using data disclosed by the China Securities Index Company, ensuring accuracy in daily weight calculations[44][45] - Dividend amounts are estimated using historical net profit distributions and dynamic prediction methods. For companies with stable profit distributions, historical patterns are used, while for others, prior-year profits serve as the basis for estimation[46][49] - Dividend payout ratios are predicted using historical averages, with adjustments for companies that have never paid dividends or exhibit extreme payout ratios[50][52] - Ex-dividend dates are forecasted using historical interval stability and linear extrapolation methods, considering factors like prior dividend dates and shareholder meeting schedules[55][54] - The model demonstrates high accuracy in predicting dividend points for major indices like the SSE 50 and CSI 300, with errors generally within 5 points. Predictions for the CSI 500 index show slightly larger deviations, around 10 points[56][60][64] - Historical percentile analysis of futures contracts reveals varying sentiment levels among institutional investors. For example, the IH contract is at the 72% historical percentile, indicating higher premium levels, while the IM contract is at the 19% percentile, reflecting deeper discounts[28][30][37] - The annualized premium or discount rates for futures contracts as of August 27, 2025, are as follows: IH (2.56%), IF (0.59%), IC (-5.51%), and IM (-10.35%)[4][13][12]

Group 1 - As of August 27, 2025, the dividend progress of component stocks in major indices shows that in the SSE 50 Index, 12 companies are in the proposal stage, 0 in the decision stage, 2 in the implementation stage, 33 have distributed dividends, and 3 do not distribute dividends [1][3] - In the CSI 300 Index, 56 companies are in the proposal stage, 2 in the decision stage, 3 in the implementation stage, 214 have distributed dividends, and 25 do not distribute dividends [1][3] - In the CSI 500 Index, 82 companies are in the proposal stage, 2 in the decision stage, 1 in the implementation stage, 342 have distributed dividends, and 73 do not distribute dividends [1][3] - In the CSI 1000 Index, 115 companies are in the proposal stage, 6 in the decision stage, 6 in the implementation stage, 668 have distributed dividends, and 205 do not distribute dividends [1][3] Group 2 - The current dividend yield statistics show that the coal, banking, and steel industries rank the highest in terms of dividend yield among disclosed dividend proposals [4] - As of August 27, 2025, the realized dividend yields for the indices are as follows: SSE 50 Index at 2.13% with a remaining yield of 0.34%, CSI 300 Index at 1.70% with a remaining yield of 0.28%, CSI 500 Index at 1.13% with a remaining yield of 0.14%, and CSI 1000 Index at 0.87% with a remaining yield of 0.11% [7][8] Group 3 - The tracking of index futures shows that as of August 27, 2025, the annualized premium for the IH main contract is 2.56%, for the IF main contract is 0.59%, while the IC main contract has an annualized discount of 5.51% and the IM main contract has an annualized discount of 10.35% [1][3] - The methodology for estimating dividend points in index futures is crucial for accurately assessing the premium or discount of futures contracts, as it reflects the impact of component stock dividends on index levels [2][23]