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 ...

Key Points - The article discusses the dividend progress of constituent stocks in major indices as of May 13, 2025, highlighting the number of companies in different stages of dividend announcements and distributions [1][3][8] - It provides a comparison of dividend yields across various industries, noting that coal, banking, and steel sectors have the highest yields [4] - The realized and remaining dividend yields for different indices are presented, with the Shanghai 50 Index having a realized yield of 0.12% and a remaining yield of 2.22% [6] - The article tracks the premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 0.34%, while the IF, IC, and IM contracts show significant discounts [1][3][17] Group 1: Dividend Progress of Constituent Stocks - As of May 13, 2025, in the Shanghai 50 Index, 37 companies are in the proposal stage, 4 in the decision stage, 0 in the implementation stage, 4 have paid dividends, and 4 do not pay dividends [1] - In the CSI 300 Index, 206 companies are in the proposal stage, 36 in the decision stage, 7 in the implementation stage, 23 have paid dividends, and 27 do not pay dividends [1] - The CSI 500 Index has 281 companies in the proposal stage, 97 in the decision stage, 17 in the implementation stage, 14 have paid dividends, and 91 do not pay dividends [1][8] - The CSI 1000 Index shows 505 companies in the proposal stage, 188 in the decision stage, 39 in the implementation stage, 43 have paid dividends, and 224 do not pay dividends [1][8] Group 2: Dividend Yield Comparison - The article presents the median dividend yields of stocks with disclosed dividend proposals, with coal, banking, and steel industries ranking the highest [4] - The realized dividend yields as of May 13, 2025, are 0.12% for the Shanghai 50 Index, 0.18% for the CSI 300 Index, 0.05% for the CSI 500 Index, and 0.07% for the CSI 1000 Index [6] Group 3: Stock Index Futures Premium and Discount Tracking - The article tracks the annualized premium and discount of stock index futures, with the IH main contract at a premium of 0.34%, while the IF, IC, and IM contracts show discounts of 4.15%, 13.18%, and 18.20% respectively [1][3][17] - The article emphasizes the importance of considering dividend impacts when calculating the premium and discount of stock index futures [2]

一 、成分股分红进度 截至2025年4月29日： 上证50指数中，有36家公司处于预案阶段，3家公司处于决案阶段，1家公司进入 实施阶段，2家公司已分红，4家公司不分红； 沪深300指数中，有216家公司处于预案阶段，29家公司处于决案阶段，9家公司 进入实施阶段，10家公司已分红，27家公司不分红； 中证500指数中，有332家公司处于预案阶段，57家公司处于决案阶段，6家公司 进入实施阶段，5家公司已分红，90家公司不分红； 中证1000指数中，有604家公司处于预案阶段，119家公司处于决案阶段，17家公 司进入实施阶段，16家公司已分红，227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4月29日： 上证50指数已实现股息率为0.09%，剩余股息率2.35%； 沪深300指数已实现股息率为0.13%，剩余股息率1.94%； 中证500指数已实现股息率为0.02%，剩余股息率1.37%； 中证1000指数已实现股息率为0.02%，剩余股息率1.03%。 四、股指期货升贴水情 ...

一 、成分股分红进度 截至2025年4月23日： 上证50指数中，有32家公司处于预案阶段，2家公司处于决案阶段，2家公司进入 实施阶段，1家公司已分红，4家公司不分红； 沪深300指数中，有161家公司处于预案阶段，23家公司处于决案阶段，7家公司 进入实施阶段，8家公司已分红，28家公司不分红； 中证500指数中，有188家公司处于预案阶段，46家公司处于决案阶段，2家公司 进入实施阶段，3家公司已分红，90家公司不分红； 中证1000指数中，有378家公司处于预案阶段，87家公司处于决案阶段，14家公 司进入实施阶段，7家公司已分红，217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4月16日： 上证50指数已实现股息率为0.06%，剩余股息率2.41%； 沪深300指数已实现股息率为0.11%，剩余股息率2.03%； 中证500指数已实现股息率为0.01%，剩余股息率1.42%； 中证1000指数已实现股息率为0.01%，剩余股息率1.10%。 四、股指期货升贴水情况跟踪 ...

Group 1 - The core viewpoint of the article is to analyze the dividend progress of constituent stocks in various indices and the implications for index futures pricing [1][2][3] - As of April 10, 2025, the dividend progress for the Shanghai 50 Index shows 30 companies in the proposal stage, 2 in the decision stage, and none in the implementation stage, with 4 companies not paying dividends [1][3] - The CSI 300 Index has 139 companies in the proposal stage, 8 in the decision stage, 3 in the implementation stage, 2 that have paid dividends, and 28 that will not pay dividends [1][3] - The CSI 500 Index has 138 companies in the proposal stage, 5 in the decision stage, 2 that have paid dividends, and 92 that will not pay dividends [1][8] - The CSI 1000 Index has 244 companies in the proposal stage, 16 in the decision stage, 4 in the implementation stage, and 224 that will not pay dividends [1][8] Group 2 - The article provides a comparison of dividend yields across industries, highlighting that coal, banking, and steel sectors rank the highest in dividend yield [4] - As of April 10, 2025, the realized dividend yields for various indices are as follows: Shanghai 50 Index at 0.00% with a remaining yield of 2.51%, CSI 300 Index at 0.01% with a remaining yield of 2.23%, CSI 500 Index at 0.01% with a remaining yield of 1.46%, and CSI 1000 Index at 0.00% with a remaining yield of 1.16% [5][4] Group 3 - The article tracks the annualized premium/discount of index futures as of April 10, 2025, with the IH main contract at a discount of 24.83%, IF at 26.90%, IC at 28.64%, and IM at 31.22% [1][3] - The article emphasizes the importance of considering dividend impacts when calculating the premium/discount of index futures, as dividends can lead to a natural decline in index points [2][3] Group 4 - The article mentions that the majority of companies are expected to distribute dividends around August, with a detailed forecast of dividend progress for the Shanghai 50, CSI 300, CSI 500, and CSI 1000 indices [17] - The methodology for estimating dividend points is discussed, emphasizing the need for accurate data on constituent stock weights, dividend amounts, and market capitalization [26][30]