- The report discusses the construction of forward and reverse arbitrage strategies in stock index futures markets. Forward arbitrage involves selling futures contracts and buying spot when the spot is undervalued and futures are overvalued, while reverse arbitrage involves buying futures contracts and selling spot when the spot is overvalued and futures are undervalued[45][46] - The formulas for calculating the arbitrage returns are provided. For forward arbitrage, the formula is: $$ P = \frac{(F_t - S_t) - (S_t + F_t M_t)(1 + r_t)^{\frac{T-t}{360}} - S_t C_s - F_t C_f}{S_t + F_t M_t} $$ For reverse arbitrage, the formula is: $$ P = \frac{(S_t - F_t) - (S_t M_l + F_t M_f)(1 + r_f)^{\frac{T-t}{360}} - S_t C_s - F_t C_f - S_t r^{\frac{T-t}{360}}}{S_t M_l + F_t M_f} $$[46] - The report evaluates the risks associated with the arbitrage process, including margin call risk, basis non-convergence risk, dividend risk, tracking error risk, and liquidity risk[46] - The report also discusses the method for predicting dividend points, which can affect the basis rate. The prediction is based on historical dividend patterns and uses the formula: $$ \text{Dividend Points} = \sum \left( \frac{\text{Per Share Dividend} \times \text{Index Closing Price} \times \text{Component Stock Weight}}{\text{Component Stock Closing Price}} \right) $$[47][50] - The report provides specific values for the annualized basis rates of the main contracts for IF, IC, IM, and IH, which are -4.66%, -12.51%, -14.77%, and -0.06% respectively[11] - The cross-period spread rates for the main contracts of IF, IC, IM, and IH are at the 78.30%, 73.30%, 84.20%, and 63.90% percentiles respectively since 2019[11] - The report includes a summary of market and industry investment consensus and differences from sell-side strategy teams, highlighting that 8 brokerages believe in enhanced policy easing expectations, 7 believe in active market liquidity, and 6 believe in a significant increase in market risk appetite[38][40]