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]

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]

Group 1 - As of June 18, 2025, the dividend progress of component stocks in major indices shows that in the SSE 50 Index, 11 companies are in the proposal stage, 16 in the decision stage, 6 in the implementation stage, 14 have distributed dividends, and 3 do not distribute dividends [1] - In the CSI 300 Index, 65 companies are in the proposal stage, 87 in the decision stage, 23 in the implementation stage, 99 have distributed dividends, and 26 do not distribute dividends [1] - In the CSI 500 Index, 55 companies are in the proposal stage, 107 in the decision stage, 46 in the implementation stage, 215 have distributed dividends, and 77 do not distribute dividends [1] - In the CSI 1000 Index, 59 companies are in the proposal stage, 195 in the decision stage, 81 in the implementation stage, 447 have distributed dividends, and 218 do not distribute dividends [1] 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 June 18, 2025, the realized dividend yields for major indices are as follows: SSE 50 Index at 0.43% with a remaining yield of 1.90%, CSI 300 Index at 0.61% with a remaining yield of 1.37%, CSI 500 Index at 0.74% with a remaining yield of 0.61%, and CSI 1000 Index at 0.60% with a remaining yield of 0.45% [6] Group 3 - The annualized premium and discount for major stock index futures as of June 18, 2025, are as follows: IH main contract at a premium of 0.28%, IF main contract at a discount of 2.78%, IC main contract at a discount of 11.22%, and IM main contract at a discount of 16.42% [1][3] - The tracking of stock index futures' premium and discount levels will consider the impact of component stock dividends on the index point drop [2] Group 4 - The methodology for estimating dividend points in indices is crucial for accurately assessing the premium and discount of stock index futures, as it accounts for the natural drop in index points due to dividends [27] - The report outlines a detailed process for estimating dividend amounts based on net profit and dividend payout ratios, ensuring accurate predictions for future dividends [34][39]

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 ...

Key Points - The article discusses the dividend progress of constituent stocks in major indices as of June 10, 2025, highlighting the stages of dividend announcements and distributions across various indices [1][4]. - It provides a comparison of dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [2][3]. - The article also presents the realized and remaining dividend yields for major indices, indicating the current financial performance and future expectations [6][7]. - It tracks the premium and discount of stock index futures, emphasizing the importance of considering dividend impacts on futures pricing [2][12]. Group 1: Dividend Progress of Constituent Stocks - As of June 10, 2025, the Shanghai Stock Exchange 50 Index has 14 companies in the proposal stage, 19 in the decision stage, 3 in the implementation stage, 9 that have paid dividends, and 4 that have not [1][4]. - The CSI 300 Index has 81 companies in the proposal stage, 92 in the decision stage, 34 in the implementation stage, 65 that have paid dividends, and 27 that have not [1][4]. - The CSI 500 Index has 68 companies in the proposal stage, 146 in the decision stage, 57 in the implementation stage, 139 that have paid dividends, and 90 that have not [1][4]. - The CSI 1000 Index has 81 companies in the proposal stage, 269 in the decision stage, 93 in the implementation stage, 338 that have paid dividends, and 219 that have not [1][4]. Group 2: 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]. Group 3: Realized and Remaining Dividend Yields - As of June 10, 2025, the realized dividend yield for the Shanghai Stock Exchange 50 Index is 0.33%, with a remaining yield of 2.03% [7]. - The realized dividend yield for the CSI 300 Index is 0.39%, with a remaining yield of 1.60% [7]. - The realized dividend yield for the CSI 500 Index is 0.48%, with a remaining yield of 0.86% [7]. - The realized dividend yield for the CSI 1000 Index is 0.45%, with a remaining yield of 0.59% [7]. Group 4: Stock Index Futures Premium and Discount Tracking - As of June 10, 2025, the annualized discount for the IH main contract is 2.11%, for the IF main contract is 6.35%, for the IC main contract is 13.84%, and for the IM main contract is 22.25% [1][12]. - The article emphasizes the need to account for dividend impacts when calculating the premium and discount of stock index futures [2][12].

证券研究报告 | 2025年06月10日 股指分红点位监控周报 各股指期货主力合约均贴水 核心观点 金融工程周报 成分股分红进度 截至 2025 年 6 月 10 日： 上证 50 指数中，有 14 家公司处于预案阶段，19 家公司处于决案阶段，3 家公司进入实施阶段，9 家公司已分红，4 家公司不分红； 沪深 300 指数中，有 81 家公司处于预案阶段，92 家公司处于决案阶段，34 家公司进入实施阶段，65 家公司已分红，27 家公司不分红； 中证 500 指数中，有 68 家公司处于预案阶段，146 家公司处于决案阶段， 57 家公司进入实施阶段，139 家公司已分红，90 家公司不分红； 中证 1000 指数中，有 81 家公司处于预案阶段，269 家公司处于决案阶段， 93 家公司进入实施阶段，338 家公司已分红，219 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 10 日： 上证 50 指数已实现股息率为 0.33%，剩余股息率 2.03%； 沪深 300 ...

- The report tracks the dividend progress of constituent stocks in major indices such as the SSE 50, CSI 300, CSI 500, and CSI 1000, detailing the number of companies at different stages of the dividend process[1][13] - The report provides a comparison of dividend yields across different industries, highlighting that the coal, banking, and steel industries have the highest median dividend yields[2][14] - The realized and remaining dividend yields for the SSE 50, CSI 300, CSI 500, and CSI 1000 indices are presented, with specific values for each index as of June 4, 2025[3][16] - The report includes a detailed methodology for calculating the dividend points of stock indices, which is crucial for accurately estimating the premium or discount of stock index futures contracts[11][36] - The methodology involves estimating the dividend amounts and ex-dividend dates for constituent stocks, using historical data and dynamic prediction models for net profit and dividend payout ratios[40][45][49] - The accuracy of the dividend point estimation model is evaluated by comparing the predicted dividend points with the actual dividend points for the SSE 50, CSI 300, and CSI 500 indices in 2023 and 2024[55][56][59] - The report tracks the premium and discount levels of major stock index futures contracts (IH, IF, IC, IM) and provides detailed data on the current and historical basis levels, as well as the annualized premium or discount rates[4][12][17][27] Quantitative Models and Construction Methods 1. **Model Name: Dividend Point Estimation Model** - **Construction Idea**: To accurately estimate the dividend points of stock indices, which is essential for calculating the premium or discount of stock index futures contracts[11] - **Construction Process**: 1. **Determine Constituent Stock Weights**: Adjust the weights of constituent stocks based on their price changes and obtain daily closing weights from the China Securities Index Company[43][44] 2. **Estimate Dividend Amounts**: Use historical net profit distribution and dividend payout ratios to estimate the dividend amounts for companies that have not yet announced their dividends[45][48] 3. **Predict Ex-Dividend Dates**: Use historical ex-dividend dates and linear extrapolation to predict the ex-dividend dates for companies that have not yet announced them[49][54] 4. **Calculate Dividend Points**: Sum the dividend amounts of all constituent stocks, weighted by their index weights and adjusted for their market capitalization[36] - **Formula**: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount}_n}{\text{Total Market Value}_n} \times \text{Stock Weight}_n \times \text{Index Closing Price} \right) $$ where \( N \) is the number of constituent stocks, and the dividend amount, total market value, and stock weight are specific to each stock[36] - **Evaluation**: The model shows high accuracy in predicting the dividend points for the SSE 50 and CSI 300 indices, with a prediction error of around 5 points, while the error for the CSI 500 index is slightly larger, around 10 points[55][56][59] Model Backtest Results 1. **Dividend Point Estimation Model** - **SSE 50 Index**: Prediction error around 5 points[55][56] - **CSI 300 Index**: Prediction error around 5 points[55][56] - **CSI 500 Index**: Prediction error around 10 points[55][56] Quantitative Factors and Construction Methods 1. **Factor Name: Dividend Yield** - **Construction Idea**: To compare the dividend yields of stocks across different industries and indices[2][14] - **Construction Process**: 1. **Calculate Dividend Yield**: For each stock, divide the announced dividend amount by the current total market value to obtain the dividend yield[14] 2. **Aggregate by Industry**: Calculate the median dividend yield for each industry based on the individual stock yields[14] - **Evaluation**: The factor highlights the industries with the highest dividend yields, providing valuable insights for dividend-focused investment strategies[2][14] Factor Backtest Results 1. **Dividend Yield Factor** - **Coal Industry**: Highest median dividend yield[2][14] - **Banking Industry**: Second highest median dividend yield[2][14] - **Steel Industry**: Third highest median dividend yield[2][14]

一 、成分股分红进度 截至2025年5月27日： 上证50指数中，有26家公司处于预案阶段，11家公司处于决案阶段，1家公司进入 实施阶段，7家公司已分红，4家公司不分红； 沪深300指数中，有127家公司处于预案阶段，91家公司处于决案阶段，12家公司 进入实施阶段，42家公司已分红，27家公司不分红； 中证500指数中，有104家公司处于预案阶段，192家公司处于决案阶段，52家公 司进入实施阶段，61家公司已分红，91家公司不分红； 中证1000指数中，有139家公司处于预案阶段，378家公司处于决案阶段，111家 公司进入实施阶段，147家公司已分红，224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5月27日： 上证50指数已实现股息率为0.17%，剩余股息率2.18%； 沪深300指数已实现股息率为0.28%，剩余股息率1.73%； 中证500指数已实现股息率为0.23%，剩余股息率1.14%； 中证1000指数已实现股息率为0.23%，剩余股息率0.82%。 四、股 ...

Quantitative Models and Construction Methods 1. Model Name: Dividend Points Estimation Model - **Model Construction Idea**: This model aims to estimate the dividend points of stock indices, which is critical for accurately calculating the basis and premium/discount levels of stock index futures. It incorporates the impact of constituent stock dividends on index points[12][36][42] - **Model Construction Process**: 1. **Formula**: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount of Stock}_n}{\text{Total Market Value of Stock}_n} \times \text{Weight of Stock}_n \times \text{Index Closing Price} \right) $$ - \( N \): Number of constituent stocks - Dividend amount and weight are adjusted based on the stock's ex-dividend date, which must fall between the current date (\( t \)) and the futures contract expiration date (\( T \))[36] 2. **Key Steps**: - **Dividend Amount Estimation**: If not disclosed, it is calculated as: $$ \text{Dividend Amount} = \text{Net Profit} \times \text{Dividend Payout Ratio} $$ - Net profit is predicted using historical profit distribution patterns, distinguishing between stable and unstable profit distributions[45][48] - Dividend payout ratio is estimated using historical averages, with adjustments for non-dividend-paying companies or extreme values[49][51] - **Ex-Dividend Date Prediction**: If not disclosed, it is predicted using historical intervals between announcement and ex-dividend dates, with adjustments for outliers or default dates[54] - **Constituent Stock Weight Adjustment**: Daily weights are calculated as: $$ W_{n,t} = \frac{w_{n0} \times (1 + r_n)}{\sum_{i=1}^{N} w_{i0} \times (1 + r_i)} $$ - \( w_{n0} \): Weight at the last disclosed date - \( r_n \): Non-adjusted return of stock \( n \) since the last disclosed date[43] - **Model Evaluation**: The model demonstrates high accuracy for indices like the SSE 50 and CSI 300, with prediction errors around 5 points. For the CSI 500, the error is slightly larger but remains stable at approximately 10 points[59] --- Model Backtesting Results 1. Dividend Points Estimation Model - **SSE 50 Index**: Prediction error ~5 points[59] - **CSI 300 Index**: Prediction error ~5 points[59] - **CSI 500 Index**: Prediction error ~10 points[59]

一 、成分股分红进度 截至2025年5月20日： 上证50指数中，有33家公司处于预案阶段，6家公司处于决案阶段，2家公司进入 实施阶段，4家公司已分红，4家公司不分红； 沪深300指数中，有170家公司处于预案阶段，60家公司处于决案阶段，14家公司 进入实施阶段，28家公司已分红，27家公司不分红； 中证500指数中，有187家公司处于预案阶段，159家公司处于决案阶段，34家公 司进入实施阶段，29家公司已分红，91家公司不分红； 中证1000指数中，有290家公司处于预案阶段，326家公司处于决案阶段，77家公 司进入实施阶段，82家公司已分红，224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5月20日： 上证50指数已实现股息率为0.12%，剩余股息率2.22%； 沪深300指数已实现股息率为0.23%，剩余股息率1.76%； 中证500指数已实现股息率为0.08%，剩余股息率1.26%； 中证1000指数已实现股息率为0.13%，剩余股息率0.90%。 四、股指期货 ...