- The report discusses the dividend prediction model for the August contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 index futures, with predicted dividend points of 1.02, 1.66, 3.49, and 2.45 respectively[5][9] - The annualized hedging costs for the August contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 index futures, excluding dividends and calculated on a 365-day basis, are 5.90%, 8.26%, 17.00%, and 19.43% respectively[5][9] - The report suggests that investors should focus on the potential for basis repair in the SSE 50 index futures due to its significant discount, and consider long arbitrage opportunities while controlling position size and holding period[6][9] - For the CSI 300 index futures, the report recommends monitoring the pace of discount repair and considering long arbitrage strategies with spot or ETF combinations under controlled risk conditions[6][9] - The CSI 500 and CSI 1000 index futures are noted for their deep discount levels, with annualized hedging costs of 17.00% and 19.43% respectively, and the report advises investors to focus on the potential for phase repair while assessing the associated hedging costs and volatility risks[6][9] - The process for predicting dividends involves estimating the net profit of component stocks, calculating the pre-tax total dividends for each stock, determining the impact of dividends on the index, and predicting the impact of dividends on each contract[21][23][24] - The theoretical pricing model for stock index futures is based on the no-arbitrage pricing model, considering discrete and continuous dividend distributions, with the formula for discrete dividends being $ \mathbf{D}=\sum_{\mathrm{i=1}}^{\mathrm{m}}\mathbf{D}_{\mathrm{i}}\,/(1+\phi) $ and for continuous dividends being $ (r d)(T-t) t t F S e − = $[30][31] - The remaining impact of dividends on the August contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 index futures is 0.04%, 0.04%, 0.06%, and 0.04% respectively[12] Model Backtest Results - SSE 50 index futures (IH2508), annualized hedging cost (excluding dividends, 365 days): 5.90%[10] - CSI 300 index futures (IF2508), annualized hedging cost (excluding dividends, 365 days): 8.26%[10] - CSI 500 index futures (IC2508), annualized hedging cost (excluding dividends, 365 days): 17.00%[11] - CSI 1000 index futures (IM2508), annualized hedging cost (excluding dividends, 365 days): 19.43%[12]

Quantitative Models and Construction Methods 1. Model Name: Dividend Forecast Model - **Model Construction Idea**: The model aims to predict the impact of dividends on index futures pricing by estimating the dividend points for each index and calculating the theoretical cost of holding futures contracts until expiration[7][11][19] - **Model Construction Process**: 1. **Estimate Component Stocks' Net Profit**: Use annual reports, earnings forecasts, and other financial data to estimate the net profit of index component stocks[21][23] 2. **Calculate Pre-Tax Total Dividends**: Based on the estimated net profit and assuming a constant dividend payout ratio, calculate the total pre-tax dividends for each stock[21][24] 3. **Assess Dividend Impact on Index**: Using the latest market capitalization and weight of each stock, calculate the dividend impact on the index as follows: $$\text{w}_{it} = \frac{\text{w}_{i0} \times (1 + R)}{\sum_{1}^{n} \text{w}_{i0} \times (1 + R)}$$ where \( \text{w}_{i0} \) is the initial weight of stock \( i \), and \( R \) is the return over the period[24] 4. **Predict Dividend Impact on Futures Contracts**: Aggregate the dividend impact for all component stocks before the contract expiration date to estimate the total dividend points for each futures contract[25][28] - **Model Evaluation**: The model provides a systematic approach to quantify dividend impacts, but its accuracy depends on assumptions about dividend payout ratios and timing[19][28] 2. Model Name: Futures Pricing Model with Discrete Dividends - **Model Construction Idea**: This model calculates the theoretical price of index futures by incorporating discrete dividend distributions during the contract period[30] - **Model Construction Process**: 1. Assume the futures price \( F_t \), spot price \( S_t \), and the present value of dividends \( D \) over the period \( T-t \) 2. For \( m \) discrete dividend payments at times \( t_1, t_2, ..., t_m \), the present value of dividends is: $$D = \sum_{i=1}^{m} \frac{D_i}{(1 + r_i)}$$ where \( r_i \) is the risk-free rate for the period between \( t_i \) and \( t \) 3. The theoretical futures price is then: $$F_t = (S_t - D)(1 + r)$$ where \( r \) is the risk-free rate over the period \( T-t \)[30] - **Model Evaluation**: This model is effective for scenarios with discrete dividend distributions but may require adjustments for continuous dividend flows[30] 3. Model Name: Futures Pricing Model with Continuous Dividends - **Model Construction Idea**: This model simplifies the pricing of index futures by assuming continuous dividend distributions over the contract period[31] - **Model Construction Process**: 1. Assume the futures price \( F_t \), spot price \( S_t \), annualized dividend yield \( d \), and annualized risk-free rate \( r \) 2. The theoretical futures price is calculated as: $$F_t = S_t \cdot e^{(r-d)(T-t)}$$ where \( T-t \) is the time to maturity[31] - **Model Evaluation**: This model is suitable for markets with frequent and evenly distributed dividends, providing a more streamlined calculation compared to the discrete model[31] --- Model Backtesting Results 1. Dividend Forecast Model - **Annualized Hedging Costs (Excluding Dividends)**: - **IH (SSE 50)**: -1.56% for August contracts[7][11] - **IF (CSI 300)**: -0.19% for August contracts[7][11] - **IC (CSI 500)**: 8.55% for August contracts[7][11] - **IM (CSI 1000)**: 8.78% for August contracts[7][11] 2. Futures Pricing Model with Discrete Dividends - **Remaining Impact of Dividends on August Contracts**: - **IH (SSE 50)**: 0.09%[12] - **IF (CSI 300)**: 0.12%[13] - **IC (CSI 500)**: 0.12%[14] - **IM (CSI 1000)**: 0.07%[15] 3. Futures Pricing Model with Continuous Dividends - **Remaining Impact of Dividends on Futures Prices**: - **IH (SSE 50)**: 2.43 points for August contracts[7][11] - **IF (CSI 300)**: 4.81 points for August contracts[7][11] - **IC (CSI 500)**: 7.39 points for August contracts[7][11] - **IM (CSI 1000)**: 4.54 points for August contracts[7][11] --- Quantitative Factors and Construction Methods 1. Factor Name: Dividend Impact Factor - **Factor Construction Idea**: Quantify the impact of dividends on index futures pricing by calculating the dividend points and their contribution to the futures basis[7][11][19] - **Factor Construction Process**: 1. Estimate the dividend points for each index based on component stocks' dividend payouts and weights[21][24] 2. Incorporate the dividend points into the futures pricing model to adjust the theoretical basis[30][31] - **Factor Evaluation**: This factor effectively captures the influence of dividends on futures pricing, aiding in arbitrage and hedging strategies[19][28] --- Factor Backtesting Results 1. Dividend Impact Factor - **Dividend Points for August Contracts**: - **IH (SSE 50)**: 2.43[7][11] - **IF (CSI 300)**: 4.81[7][11] - **IC (CSI 500)**: 7.39[7][11] - **IM (CSI 1000)**: 4.54[7][11]

Quantitative Models and Construction Methods 1. Model Name: Dividend Forecast Model - **Model Construction Idea**: The model aims to predict the impact of dividends on index futures contracts by estimating the dividend points based on historical and current financial data of index constituent stocks[7][18][21] - **Model Construction Process**: 1. **Estimate Net Profit**: Use annual reports, earnings forecasts, and other financial disclosures to estimate the net profit of constituent stocks[19][21] 2. **Calculate Pre-Tax Dividend Total**: Assume a constant dividend payout ratio (dividend amount/net profit) to calculate the pre-tax dividend total for each stock[21][22] 3. **Impact on Index**: - Calculate the dividend yield: $$\text{Dividend Yield} = \frac{\text{Post-Tax Dividend Total}}{\text{Latest Market Value}}$$ - Calculate the dividend points' impact on the index: $$\text{Dividend Points Impact (\%)} = \text{Stock Weight} \times \text{Dividend Yield}$$ - Adjust stock weights using the formula: $$\mathrm{w_{it}={\frac{w_{i0}\times\mathrm{\(1+R\)}}{\sum_{1}^{n}w_{i0}\times\mathrm{\(1+R\)}}}}$$ where \(w_{i0}\) is the initial weight, and \(R\) is the stock's return over the period[22] 4. **Forecast Dividend Impact on Contracts**: - Estimate ex-dividend dates based on historical patterns or announced schedules - Aggregate dividend impacts before the contract's settlement date to calculate the total dividend points and percentage impact on the futures contract[23][24][26] - **Model Evaluation**: The model provides a systematic approach to quantify dividend impacts, but its accuracy depends on assumptions about dividend payout ratios and ex-dividend dates[18][21][24] 2. Model Name: Futures Pricing Model with Discrete Dividends - **Model Construction Idea**: This model calculates the theoretical price of index futures by incorporating the present value of discrete dividend distributions during the contract period[27] - **Model Construction Process**: 1. Assume the following parameters: - \(F_t\): Futures price at time \(t\) - \(S_t\): Spot price at time \(t\) - \(D\): Present value of dividends during the contract period - \(r\): Risk-free rate over the contract period 2. Calculate the present value of dividends: $$\mathbf{D}=\sum_{\mathrm{i=1}}^{\mathrm{m}}\mathbf{D}_{\mathrm{i}}\,/(1+\phi)$$ where \(\phi\) is the risk-free rate for the interval between dividend payments[27] 3. Derive the futures price using the no-arbitrage pricing formula: $$F_t = (S_t - D)(1 + r)$$[27] - **Model Evaluation**: This model is effective for scenarios with discrete dividend distributions but may require adjustments for continuous dividend flows or irregular dividend schedules[27] 3. Model Name: Futures Pricing Model with Continuous Dividends - **Model Construction Idea**: This model assumes dividends are distributed continuously and uniformly over the contract period, simplifying the pricing process[28] - **Model Construction Process**: 1. Assume the following parameters: - \(F_t\): Futures price at time \(t\) - \(S_t\): Spot price at time \(t\) - \(d\): Annualized dividend yield - \(r\): Annualized risk-free rate - \(T-t\): Time to maturity 2. Derive the theoretical futures price: $$F_t = S_t e^{(r-d)(T-t)}$$[28] - **Model Evaluation**: This model is suitable for markets with frequent and evenly distributed dividends but may oversimplify real-world scenarios with irregular dividend patterns[28] --- Model Backtesting Results 1. Dividend Forecast Model - **Dividend Points Prediction for August Contracts**: - **SSE 50 (IH)**: 3.62 points - **CSI 300 (IF)**: 7.76 points - **CSI 500 (IC)**: 9.18 points - **CSI 1000 (IM)**: 6.25 points[3][8][10] - **Annualized Hedging Costs (Excluding Dividends)**: - **SSE 50 (IH)**: -3.44% - **CSI 300 (IF)**: -1.03% - **CSI 500 (IC)**: 7.79% - **CSI 1000 (IM)**: 11.11%[3][8][10] 2. Futures Pricing Model with Discrete Dividends - **Remaining Dividend Impact on August Contracts**: - **SSE 50 (IH)**: 0.13% - **CSI 300 (IF)**: 0.19% - **CSI 500 (IC)**: 0.15% - **CSI 1000 (IM)**: 0.10%[11][18][24] 3. Futures Pricing Model with Continuous Dividends - **Not explicitly tested in the report** --- Quantitative Factors and Construction Methods 1. Factor Name: Dividend Yield Factor - **Factor Construction Idea**: Measures the dividend yield of index constituent stocks to assess their contribution to the overall index dividend impact[22] - **Factor Construction Process**: 1. Calculate the dividend yield for each stock: $$\text{Dividend Yield} = \frac{\text{Post-Tax Dividend Total}}{\text{Latest Market Value}}$$ 2. Aggregate the weighted dividend yields of all constituent stocks to determine the index-level dividend yield[22] - **Factor Evaluation**: Provides a direct measure of dividend contributions but may be sensitive to changes in stock weights and market values[22] --- Factor Backtesting Results 1. Dividend Yield Factor - **Dividend Yield Impact on August Contracts**: - **SSE 50 (IH)**: 3.62 points - **CSI 300 (IF)**: 7.76 points - **CSI 500 (IC)**: 9.18 points - **CSI 1000 (IM)**: 6.25 points[3][8][10]

Quantitative Models and Construction Methods - **Model Name**: Dividend Forecast Model **Model Construction Idea**: The model aims to predict the impact of dividends on index futures pricing by estimating the dividend distribution of index constituent stocks and its influence on futures contracts[9][20][23] **Model Construction Process**: 1. **Estimate Net Profit of Constituent Stocks**: Use annual reports, earnings forecasts, and other financial data to estimate the net profit of each constituent stock[21][23] 2. **Calculate Pre-Tax Total Dividends**: Based on the assumption that the dividend payout ratio remains constant, calculate the total pre-tax dividends for each stock[24][27] 3. **Assess Dividend Impact on Index**: - Dividend Yield = Total Post-Tax Dividends / Latest Market Value - Dividend Points = Stock Weight × Dividend Yield - Adjust stock weights using the formula: $$\mathrm{w_{it}={\frac{w_{i0}\times\mathrm{\(\1+R\)}}{\sum_{1}^{n}w_{i0}\times\mathrm{\(\1+R\)}}}}$$ where \(w_{i0}\) is the initial weight, and \(R\) is the stock's return over the period[24] 4. **Predict Dividend Impact on Futures Contracts**: - Estimate ex-dividend dates based on historical patterns or announced schedules - Aggregate all dividends before the contract's settlement date to calculate the total impact on futures pricing[25][26][28] **Model Evaluation**: The model provides a systematic approach to quantify dividend impacts, but its accuracy depends on the reliability of assumptions and historical data[9][20][23] - **Model Name**: Futures Pricing Model with Discrete Dividends **Model Construction Idea**: This model calculates the theoretical price of index futures by incorporating the present value of discrete dividend distributions during the contract period[29] **Model Construction Process**: - Formula: $$F_t = (S_t - D)(1 + r)$$ where \(F_t\) is the futures price, \(S_t\) is the spot price, \(D\) is the present value of dividends, and \(r\) is the risk-free rate[29] **Model Evaluation**: The model is effective for scenarios with distinct dividend distributions but may not capture continuous dividend flows accurately[29] - **Model Name**: Futures Pricing Model with Continuous Dividends **Model Construction Idea**: This model assumes dividends are distributed continuously over time and calculates the theoretical futures price accordingly[30] **Model Construction Process**: - Formula: $$F_t = S_t e^{(r-d)(T-t)}$$ where \(F_t\) is the futures price, \(S_t\) is the spot price, \(r\) is the risk-free rate, \(d\) is the annualized dividend yield, and \(T-t\) is the time to maturity[30] **Model Evaluation**: Suitable for markets with frequent and evenly distributed dividends, providing a more realistic pricing framework in such scenarios[30] Model Backtesting Results - **Dividend Forecast Model**: - Remaining dividend impact on July contracts: IH (0.82%), IF (0.57%), IC (0.16%), IM (0.14%)[15] - Annualized hedging costs (excluding dividends, 365-day basis): IH (-4.89%), IF (-2.72%), IC (12.34%), IM (16.97%)[6][10][12][13][14] - **Futures Pricing Model with Discrete Dividends**: - Not explicitly tested in the report - **Futures Pricing Model with Continuous Dividends**: - Not explicitly tested in the report Quantitative Factors and Construction Methods - **Factor Name**: Dividend Yield Factor **Factor Construction Idea**: Measures the dividend yield of index constituent stocks to assess their contribution to the overall index dividend impact[24] **Factor Construction Process**: - Formula: Dividend Yield = Total Post-Tax Dividends / Latest Market Value[24] **Factor Evaluation**: Provides a direct measure of dividend contribution but may be sensitive to market value fluctuations[24] - **Factor Name**: Stock Weight Adjustment Factor **Factor Construction Idea**: Adjusts the weight of each stock in the index based on its return over a specified period[24] **Factor Construction Process**: - Formula: $$\mathrm{w_{it}={\frac{w_{i0}\times\mathrm{\(\1+R\)}}{\sum_{1}^{n}w_{i0}\times\mathrm{\(\1+R\)}}}}$$ where \(w_{i0}\) is the initial weight, and \(R\) is the stock's return over the period[24] **Factor Evaluation**: Enhances the accuracy of dividend impact calculations by accounting for stock performance dynamics[24] Factor Backtesting Results - **Dividend Yield Factor**: - Not explicitly tested in the report - **Stock Weight Adjustment Factor**: - Not explicitly tested in the report

- The report introduces a dividend forecast model to predict the impact of dividends on index futures contracts, specifically for the July contracts of SSE 50, CSI 300, CSI 500, and CSI 1000 indices [6][10][19] - The model's construction involves estimating component stocks' net profits, calculating pre-tax dividend totals, assessing the impact of dividends on indices, and predicting the influence on futures contracts based on historical dividend timelines and weights [19][20][22] - The formula for estimating stock weights in the index is provided as: $$\mathrm{w_{it}={\frac{w_{i0}\times\mathrm{\(\1+R\)}}{\sum_{1}^{n}w_{i0}\times\mathrm{\(\1+R\)}}}}$$ where \(w_{i0}\) is the initial weight, and \(R\) is the price change ratio over the period [20] - The theoretical pricing model for futures under discrete dividend distribution is: $$F_t = (S_t - D)(1 + r)$$ where \(F_t\) is the futures price, \(S_t\) is the spot price, \(D\) is the present value of dividends, and \(r\) is the risk-free rate [25] - For continuous dividend distribution, the pricing model is: $$F_t = S_t e^{(r-d)(T-t)}$$ where \(d\) is the annualized dividend yield, and other variables are as defined above [26] - The model predicts dividend points for July contracts as follows: SSE 50 (28.77), CSI 300 (27.38), CSI 500 (13.98), and CSI 1000 (12.41) [6][10][13] - The annualized hedging costs (excluding dividends) for July contracts are: SSE 50 (-3.60%), CSI 300 (1.05%), CSI 500 (6.74%), and CSI 1000 (9.50%) [6][10][13] - The remaining impact of dividends on July contracts is estimated as: SSE 50 (1.06%), CSI 300 (0.70%), CSI 500 (0.24%), and CSI 1000 (0.20%) [13] - The report evaluates the model as a useful tool for identifying arbitrage opportunities and managing hedging costs, particularly in the context of dividend season [6][7][10]

- The report discusses the impact of dividends on stock index futures, specifically for the Shanghai Stock Exchange 50 (SSE 50), CSI 300, CSI 500, and CSI 1000 index futures[1][2][3] - The latest dividend forecast model predicts the dividend points for the June contracts of SSE 50, CSI 300, CSI 500, and CSI 1000 indices to be 3.70, 4.71, 10.68, and 10.32 respectively[10] - The annualized hedging costs (excluding dividends, calculated on a 365-day basis) for the June contracts of SSE 50, CSI 300, CSI 500, and CSI 1000 indices are 14.67%, 4.14%, 0.51%, and 9.81% respectively[10] - The report provides detailed calculations of the impact of dividends on the futures contracts, including the remaining impact of dividends on the contracts and the annualized hedging costs (excluding dividends, calculated on both 365-day and 243-day bases)[10][11][12][13] - The process for predicting dividends involves estimating the net profit of component stocks, calculating the total pre-tax dividends for each stock, calculating the impact of dividends on the index, and predicting the impact of dividends on each contract[19][22][23][24][25][26][27][28][30] - The theoretical pricing model for stock index futures is discussed, including both discrete and continuous dividend distribution scenarios[31][32] Model and Factor Construction - **Model Name**: Dividend Impact Prediction Model - **Construction Idea**: The model aims to predict the impact of dividends on stock index futures by estimating the net profit of component stocks and calculating the total pre-tax dividends[19][22] - **Construction Process**: 1. Estimate the net profit of component stocks using annual reports, quick reports, warnings, and analyst profit forecasts[22][23] 2. Calculate the total pre-tax dividends for each stock based on the estimated net profit and dividend rate[22][23] 3. Calculate the impact of dividends on the index using the formula: $$ \text{w_{it} = \frac{w_{i0} \times (1+R)}{\sum_{1}^{n} w_{i0} \times (1+R)}} $$ where \( w_{i0} \) is the accurate weight of stock \( i \) at time \( t0 \), and \( R \) is the rate of change in stock price[24] 4. Predict the impact of dividends on each contract by summing up all dividends before the contract's delivery date[28][30] - **Evaluation**: The model provides a systematic approach to predict the impact of dividends on stock index futures, considering various factors such as net profit estimation and dividend rates[19][22][23][24][25][26][27][28][30] Model Backtest Results - **SSE 50 Index Futures (June Contract)**: - **Dividend Points**: 3.70 - **Actual Spread**: -11.23 - **Dividend-Adjusted Spread**: -7.53 - **Remaining Impact of Dividends**: 0.14% - **Annualized Hedging Cost (365 days)**: 14.67% - **Annualized Hedging Cost (243 days)**: 13.67%[10] - **CSI 300 Index Futures (June Contract)**: - **Dividend Points**: 4.71 - **Actual Spread**: -7.78 - **Dividend-Adjusted Spread**: -3.07 - **Remaining Impact of Dividends**: 0.12% - **Annualized Hedging Cost (365 days)**: 4.14% - **Annualized Hedging Cost (243 days)**: 3.86%[11] - **CSI 500 Index Futures (June Contract)**: - **Dividend Points**: 10.68 - **Actual Spread**: -11.24 - **Dividend-Adjusted Spread**: -0.56 - **Remaining Impact of Dividends**: 0.19% - **Annualized Hedging Cost (365 days)**: 0.51% - **Annualized Hedging Cost (243 days)**: 0.48%[12] - **CSI 1000 Index Futures (June Contract)**: - **Dividend Points**: 10.32 - **Actual Spread**: -21.81 - **Dividend-Adjusted Spread**: -11.49 - **Remaining Impact of Dividends**: 0.17% - **Annualized Hedging Cost (365 days)**: 9.81% - **Annualized Hedging Cost (243 days)**: 9.15%[13]

Quantitative Models and Construction Methods 1. Model Name: Dividend Impact Prediction Model - **Model Construction Idea**: The model aims to predict the impact of dividends on index futures pricing by estimating the dividend points for each contract and incorporating them into the theoretical pricing framework[7][10][20] - **Model Construction Process**: 1. **Estimate Component Stocks' Net Profit**: Use annual reports, quick reports, earnings warnings, or analysts' forecasts to estimate net profits[23][24] 2. **Calculate Pre-Tax Total Dividends**: Based on the assumption that the dividend payout ratio remains unchanged, calculate the total dividend amount as: $$ \text{Estimated Dividend Amount} = \text{Estimated Net Profit} \times \text{Dividend Payout Ratio} $$ If no dividends were distributed in the previous year, assume no dividends this year[28] 3. **Calculate Dividend Impact on Index**: - Dividend Yield: $$ \text{Dividend Yield} = \frac{\text{Tax-Adjusted Total Dividend}}{\text{Latest Market Value}} $$ - Dividend Points: $$ \text{Dividend Points Impact} = \text{Stock Weight} \times \text{Dividend Yield} $$ - Adjust stock weights using the formula: $$ w_{it} = \frac{w_{i0} \times (1 + R)}{\sum_{1}^{n} w_{i0} \times (1 + R)} $$ where \( w_{i0} \) is the initial weight, and \( R \) is the return over the period[25] 4. **Predict Contract Impact**: Aggregate all dividend impacts before the contract's delivery date to estimate the total dividend effect on the futures contract[30] 5. **Theoretical Pricing**: - For discrete dividends: $$ F_t = (S_t - D)(1 + r) $$ where \( D \) is the present value of dividends, and \( r \) is the risk-free rate[33] - For continuous dividends: $$ F_t = S_t e^{(r-d)(T-t)} $$ where \( d \) is the annualized dividend yield[34] - **Model Evaluation**: The model provides a systematic approach to incorporate dividend forecasts into futures pricing, enhancing accuracy in predicting contract price movements[7][10][20] --- Model Backtesting Results 1. Dividend Impact Prediction Model - **Dividend Points for June Contracts**: - SSE 50: 17.28 - CSI 300: 20.75 - CSI 500: 35.79 - CSI 1000: 32.06[7][10][15] - **Annualized Hedging Costs (Excluding Dividends)**: - SSE 50: 0.76% - CSI 300: 5.14% - CSI 500: 12.79% - CSI 1000: 18.63%[7][10][15] - **Remaining Impact of Dividends on June Contracts**: - SSE 50: 0.64% - CSI 300: 0.53% - CSI 500: 0.63% - CSI 1000: 0.54%[15]

Quantitative Models and Construction Methods - **Model Name**: Theoretical Pricing Model for Stock Index Futures **Model Construction Idea**: This model aims to calculate the theoretical price of stock index futures by considering the impact of dividends and risk-free interest rates under no-arbitrage conditions [35][36] **Model Construction Process**: 1. **Discrete Dividend Distribution**: - Assume the futures price at time \( t \) is \( F_t \), the spot price is \( S_t \), and the futures contract expires at \( T \). The present value of dividends during \( T-t \) is \( D \), and the risk-free rate during \( T-t \) is \( r \). - If there are \( m \) dividend payments at times \( t_1, t_2, ..., t_m \), with amounts \( D_1, D_2, ..., D_m \), the present value of dividends is: $$ \mathbf{D} = \sum_{\mathrm{i=1}}^{\mathrm{m}} \mathbf{D}_{\mathrm{i}} / (1 + \phi) $$ where \( \phi \) is the risk-free rate between two dividend payments. - The theoretical futures price is: $$ F_t = (S_t - D)(1 + r) $$ [35] 2. **Continuous Dividend Distribution**: - When dividends are distributed continuously, the model assumes the annualized dividend yield is \( d \), and the annualized risk-free rate is \( r \). The theoretical futures price is: $$ F_t = S_t e^{(r-d)(T-t)} $$ [36] Quantitative Factors and Construction Methods - **Factor Name**: Dividend Impact Factor **Factor Construction Idea**: This factor estimates the impact of dividends on stock index futures pricing by predicting the dividend points for index components and their contribution to the index [12][27] **Factor Construction Process**: 1. **Estimate Net Profit**: Use available financial data in the following order of priority: annual reports, quick reports, earnings warnings, trailing twelve-month (TTM) net profit, or analysts' forecasts [27][31] 2. **Calculate Total Dividends**: Assume the dividend payout ratio remains constant for companies with historical dividends. For companies with no prior dividends or negative profits, assume zero dividends [31] 3. **Calculate Dividend Impact on Index**: - Dividend yield: \( \text{Tax-adjusted dividends} / \text{Latest market cap} \) - Dividend points: \( \text{Stock weight} \times \text{Dividend yield} \) - Adjust stock weights using the formula: $$ w_{it} = \frac{w_{i0} \times (1 + R)}{\sum_{1}^{n} w_{i0} \times (1 + R)} $$ where \( w_{i0} \) is the initial weight, and \( R \) is the stock's return [29] 4. **Predict Impact on Futures Contracts**: Aggregate the dividend points for all components before the contract's settlement date [33] Model Backtesting Results - **Theoretical Pricing Model**: - Annualized hedging costs (excluding dividends) for May contracts: - SSE 50: 0.27% - CSI 300: 7.07% - CSI 500: 15.59% - CSI 1000: 18.88% [12][13][15][16] Factor Backtesting Results - **Dividend Impact Factor**: - Remaining impact of dividends on May contracts: - SSE 50: 0.01% - CSI 300: 0.02% - CSI 500: 0.04% - CSI 1000: 0.06% [17]

- The report discusses the impact of dividends on stock index futures, specifically for the contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices[1][2][3] - The latest dividend prediction model estimates the dividend points for the May contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices to be 0.00, 5.16, 3.54, and 4.58 respectively[7][10] - The annualized hedging costs (excluding dividends, calculated on a 365-day basis) for the May contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices are 5.16%, 8.11%, 15.43%, and 15.39% respectively[7][10] - The report provides detailed calculations of the impact of dividends on the futures contracts, including the remaining impact of dividends on the contracts and the annualized hedging costs[11][12][13][14] - The process for predicting dividends involves estimating the net profit of constituent stocks, calculating the total pre-tax dividends for each stock, and then determining the impact of dividends on the index and each futures contract[24][27][28][29][30][31][32][33] - The theoretical pricing model for stock index futures is also discussed, including both discrete and continuous dividend distribution scenarios[35][36] Model and Factor Construction - **Model Name**: Dividend Prediction Model - **Construction Idea**: The model predicts the impact of dividends on stock index futures by estimating the net profit of constituent stocks and calculating the total pre-tax dividends[24][27] - **Construction Process**: 1. Estimate the net profit of constituent stocks using available information such as annual reports, quick reports, warnings, and analyst forecasts[26][27] 2. Calculate the total pre-tax dividends for each stock based on the estimated net profit and the dividend rate[28][31] 3. Determine the impact of dividends on the index by calculating the dividend points and the weight of each stock in the index[29] 4. Predict the impact of dividends on each futures contract by estimating the ex-dividend dates and summing the dividends before the contract's delivery date[30][32][33] - **Formula**: $$\mathrm{w_{it}={\frac{w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}{\sum_{1}^{n}w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}}}$$ - \( w_{it} \): Estimated weight of stock \( i \) at time \( t \) - \( w_{i0} \): Accurate weight of stock \( i \) at initial time \( t0 \) - \( R \): Return rate of stock \( i \) from \( t0 \) to \( t \)[29] - **Evaluation**: The model provides a systematic approach to predict the impact of dividends on stock index futures, considering various factors such as net profit estimates and dividend rates[24][27][28][29][30][31][32][33] Model Backtest Results - **SSE 50 Futures (IH2505)**: - **Dividend Points**: 0.00 - **Actual Spread**: -5.96 - **Dividend-Adjusted Spread**: -5.96 - **Remaining Impact**: 0.00% - **Annualized Hedging Cost (365 days)**: 5.16% - **Annualized Hedging Cost (243 days)**: 6.11%[11] - **CSI 300 Futures (IF2505)**: - **Dividend Points**: 5.16 - **Actual Spread**: -18.57 - **Dividend-Adjusted Spread**: -13.41 - **Remaining Impact**: 0.14% - **Annualized Hedging Cost (365 days)**: 8.11% - **Annualized Hedging Cost (243 days)**: 9.60%[12] - **CSI 500 Futures (IC2505)**: - **Dividend Points**: 3.54 - **Actual Spread**: -41.62 - **Dividend-Adjusted Spread**: -38.09 - **Remaining Impact**: 0.06% - **Annualized Hedging Cost (365 days)**: 15.43% - **Annualized Hedging Cost (243 days)**: 18.26%[13] - **CSI 1000 Futures (IM2505)**: - **Dividend Points**: 4.58 - **Actual Spread**: -44.72 - **Dividend-Adjusted Spread**: -40.14 - **Remaining Impact**: 0.08% - **Annualized Hedging Cost (365 days)**: 15.39% - **Annualized Hedging Cost (243 days)**: 18.21%[14]