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