- The report discusses the dividend prediction model for the August contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices, with respective dividend points of 1.42, 2.59, 4.93, and 3.19[5][9] - The annualized hedging costs for the August contracts, excluding dividends and calculated on a 365-day basis, are -1.22% for SSE 50, 6.13% for CSI 300, 17.91% for CSI 500, and 19.73% for CSI 1000[5][9] - The report suggests that investors should pay attention to the short-term positive arbitrage opportunities in the SSE 50 index futures, given its current slight premium state and relatively low hedging cost[6][9] - For the CSI 300 index futures, the report advises investors to closely monitor the potential for discount recovery and the changes in hedging costs due to increased volatility, as it has shifted from a neutral to a moderate discount state[6][9] - The CSI 500 and CSI 1000 index futures are currently in a deep discount state, with significantly expanded discount margins compared to the previous period. The report recommends that investors with arbitrage execution capabilities and risk management experience consider participating in the phase discount arbitrage opportunities for these small and mid-cap index futures[6][9] - The dividend prediction process involves estimating the net profit of constituent stocks, calculating the pre-tax total dividend for each stock, determining the impact of dividends on the index, and predicting the impact of dividends on each contract[7][19][22] - The formula used to estimate the weight of each stock in the index is: $$ \mathrm{w_{it}={\frac{w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}{\sum_{1}^{n}w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}}} $$ where \( w_{i0} \) is the accurate weight of stock \( i \) on day \( t0 \), and \( R \) is the rate of change in the stock price from \( t0 \) to \( t \)[22] - The theoretical pricing model for stock index futures under discrete dividend distribution is: $$ F (S D)(1 r) t t = − + $$ where \( F_t \) is the futures price at time \( t \), \( S_t \) is the spot price, \( D \) is the present value of the dividend stream during the period \( T-t \), and \( r \) is the risk-free rate during the period \( T-t \)[28] - The theoretical pricing model for stock index futures under continuous dividend distribution is: $$ (r d)(T-t) t t F S e − = $$ where \( F_t \) is the futures price at time \( t \), \( S_t \) is the spot price, \( d \) is the annualized dividend rate, and \( r \) is the annualized risk-free rate during the period \( T-t \)[29] Model Backtest Results - SSE 50 index futures (IH) August contract: actual spread -0.13, dividend-inclusive spread 1.29, annualized hedging cost -1.22%[1][10] - CSI 300 index futures (IF) August contract: actual spread -12.13, dividend-inclusive spread -9.53, annualized hedging cost 6.13%[1][11] - CSI 500 index futures (IC) August contract: actual spread -47.60, dividend-inclusive spread -42.67, annualized hedging cost 17.91%[1][12] - CSI 1000 index futures (IM) August contract: actual spread -53.67, dividend-inclusive spread -50.48, annualized hedging cost 19.73%[1][13]

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]

Group 1 - The market is experiencing a significant decline, potentially due to sudden negative news or options contract arbitrage, with large funds profiting while retail investors struggle [1] - Large funds are actively buying broad-based ETFs, indicating protective actions, with noticeable volume increases in specific ETFs, suggesting that this is not a selling signal [3] - Key sectors such as liquor, real estate, securities, and coal have not significantly declined despite tariffs, indicating limited downside risk and potential for future upward movement [3] Group 2 - The upcoming week is critical for large funds to determine market direction, with limited downside potential but some possibility of decline [5] - The best opportunities currently lie in Hong Kong stocks rather than A-shares, with a focus on bottoming out in sectors like liquor, real estate, and securities, which are positioned below 3000 points [5] - The market is expected to experience a rotation in leading sectors, with a potential shift away from bank stocks to other weighty industries for upward momentum [7]