Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - The report systematically analyzes the basis structure of China's three major stock index futures and its impact on market-neutral strategies, finding that the basis can be deconstructed into three core dimensions: time value of funds, dividend cash flow, and market sentiment expectations. By introducing the concept of "corrected basis", it more accurately reflects the real hedging cost. A-share dividends show significant seasonal characteristics and three new trends since [year]. The dividend rates of the SSE and CSI 300 indices show a "V-shaped" trend, while the dividend rate center of the CSI 500 index has shifted downward. Currently, the costs of IC and IF contracts are generally positive, while the IH contract shows a negative value. It is recommended to prioritize the allocation of IC contracts and consider the far-quarter IF contracts, and be cautious with IH contracts [1][2]. Summary by Relevant Catalogs I. Basis Driving Factor Deconstruction and Theoretical Framework - The basis of stock index futures can be deconstructed into three core driving dimensions: the cost dimension from the time value of funds, the cash flow dimension from index component stocks' dividends, and the sentiment and expectation dimension reflecting the market's long-short power comparison. The "corrected basis" is defined by combining the time value and market sentiment expectations to simplify the analysis and focus on the core influencing factors of hedging costs [5]. II. Dividend Behavior Characteristics and Dividend Point Index Analysis - The dividend behavior of the three major index component stocks has significant seasonal characteristics, with dividends highly concentrated from [month] to [month], and [months] being the peak. Since [year], there have been three new trends in the A-share market's dividend pattern: the emergence of year-end dividends, the delay of some companies' traditional dividend dates, and the deepening of the impact of dividend behavior on stock index and derivative pricing [8]. III. Dividend Income Quantitative Calculation and Historical Trends - By comparing the yield differences between the total return index and the price index, the annual dividend income performance of the three major indices in the past five years is calculated. The SSE and CSI 300 indices show a "V-shaped" trend, while the dividend rate center of the CSI 500 index has shifted downward. The annualized dividend income of the SSE and CSI 300 indices is stable in the 2%-3% range, while that of the CSI 500 index is relatively low. The impact of dividends on futures pricing and basis structure during the concentrated dividend period cannot be ignored [10][11]. IV. Hedging Cost Time Series Analysis and Market Structure - A simplified model is used to estimate the dividend points of index component stocks and calculate the corrected basis. The far-quarter contracts of the SSE and CSI 300 stock index futures have long-term stable hedging costs around zero, and most of the time are slightly higher than the break-even point. The far-quarter contracts of the CSI 500 stock index futures also fluctuate around zero, and had better cost-benefit characteristics before [year]. The annualized hedging cost of near-month contracts has significant peaks, indicating extreme basis fluctuations near the contract expiration date, such as the abnormal peaks of over 150% observed in [year] [21]. V. Current Hedging Cost Comparison and Strategy Recommendations - From the fourth quarter of [year] to the beginning of [year], the impact of dividends on the stock index futures basis and hedging strategies has weakened. Currently, the hedging costs of IC and IF main contracts are generally positive, providing a favorable window for market-neutral strategies. IC and IF contracts have relatively low hedging costs, while IH contracts have relatively high costs. It is recommended to prioritize the allocation of IC contracts and consider the far-quarter IF contracts, and be cautious with IH contracts [22][24].