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 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][4] - The latest dividend forecast model predicts the dividend points for the June contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices to be 12.10, 16.30, 18.75, and 17.78, respectively [8][11] - The annualized hedging costs (excluding dividends, calculated on a 365-day basis) for the June contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices are 3.05%, 1.54%, 8.11%, and 14.77%, respectively [8][11] - The report provides detailed data on the closing prices, dividend points, actual spreads, and dividend-inclusive spreads for the June, July, September, and December contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices [2][3][4] - The remaining impact of dividends on the June contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices is 0.45%, 0.42%, 0.33%, and 0.29%, respectively [12][13][14][15][16] - The report outlines the process for predicting dividends, which includes estimating the net profit of constituent stocks, calculating the total pre-tax dividends for each stock, and determining the impact of dividends on the index and each contract [9][21][24][25][26][27][28][29][30] - The theoretical pricing model for stock index futures is provided, including formulas for both discrete and continuous dividend distributions [32][33] Model and Factor Construction - **Model Name**: Dividend Impact Prediction Model - **Model Construction Idea**: The model aims to predict the impact of dividends on stock index futures contracts by estimating the dividends of constituent stocks and calculating their effect on the index and futures contracts [9][21] - **Model Construction Process**: 1. Estimate the net profit of constituent stocks using available information such as annual reports, quick reports, warnings, and analyst forecasts [23][24] 2. Calculate the total pre-tax dividends for each stock based on the estimated net profit and historical dividend rates [25][28] 3. Determine the impact of dividends on the index by calculating the dividend yield and the dividend points for each stock [26] 4. Estimate the ex-dividend dates and calculate the theoretical impact of dividends on each futures contract [27][29][30] 5. Use the theoretical pricing model for stock index futures to incorporate the impact of dividends into the futures prices [32][33] - **Model 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, dividend rates, and ex-dividend dates [9][21][24] Model Backtesting Results - **SSE 50 Futures (June Contract)**: - Closing Price: 2673.60 - Dividend Points: 12.10 - Actual Spread: -15.25 - Dividend-Inclusive Spread: -3.15 - Remaining Impact: 0.45% - Annualized Hedging Cost (365 days): 3.05% - Annualized Hedging Cost (243 days): 2.84% [2][12] - **CSI 300 Futures (June Contract)**: - Closing Price: 3855.40 - Dividend Points: 16.30 - Actual Spread: -18.58 - Dividend-Inclusive Spread: -2.28 - Remaining Impact: 0.42% - Annualized Hedging Cost (365 days): 1.54% - Annualized Hedging Cost (243 days): 1.43% [2][13] - **CSI 500 Futures (June Contract)**: - Closing Price: 5725.40 - Dividend Points: 18.75 - Actual Spread: -36.68 - Dividend-Inclusive Spread: -17.93 - Remaining Impact: 0.33% - Annualized Hedging Cost (365 days): 8.11% - Annualized Hedging Cost (243 days): 7.56% [3][14] - **CSI 1000 Futures (June Contract)**: - Closing Price: 6100.20 - Dividend Points: 17.78 - Actual Spread: -52.64 - Dividend-Inclusive Spread: -34.87 - Remaining Impact: 0.29% - Annualized Hedging Cost (365 days): 14.77% - Annualized Hedging Cost (243 days): 13.77% [4][15]