- The report discusses the methodology for calculating dividend points in stock indices, emphasizing the importance of estimating the dividend impact on price indices, which are used in A-share stock index futures contracts[12][40][46] - The calculation of dividend points involves the formula: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount of Component Stock}}{\text{Total Market Value of Component Stock}} \times \text{Weight of Component Stock} \times \text{Index Closing Price} \right) $$ This formula requires the dividend amount, total market value, component stock weight, and index closing price, with the condition that the ex-dividend date falls between the current date and the contract expiration date[40] - The methodology includes steps for estimating missing data: 1. If the dividend amount is not disclosed, it is estimated using the formula: $$ \text{Dividend Amount} = \text{Net Profit} \times \text{Dividend Payout Ratio} $$ Net profit is predicted based on historical profit distribution, while the dividend payout ratio is estimated using historical averages[49][53] 2. If the ex-dividend date is not disclosed, it is predicted using historical intervals and linear extrapolation[53][58] - The report highlights the accuracy of the dividend point estimation model, showing that the prediction error for the Shanghai 50 and CSI 300 indices is approximately 5 points, while the error for the CSI 500 index is around 10 points[59][63] - The report evaluates the historical basis points of stock index futures contracts, showing that the IH contract is at the 82nd percentile, IF at the 69th percentile, IC at the 32nd percentile, and IM at the 39th percentile, indicating varying levels of premium or discount relative to historical levels[28]

一 、成分股分红进度 截至2025年8月20日： 上证50指数中，有4家公司处于预案阶段，0家公司处于决案阶段，1家公司进入实 施阶段，42家公司已分红，3家公司不分红； 沪深300指数中，有20家公司处于预案阶段，3家公司处于决案阶段，10家公司进 入实施阶段，242家公司已分红，25家公司不分红； 中证500指数中，有21家公司处于预案阶段，2家公司处于决案阶段，6家公司进 入实施阶段，394家公司已分红，77家公司不分红； 中证1000指数中，有44家公司处于预案阶段，3家公司处于决案阶段，2家公司进 入实施阶段，742家公司已分红，209家公司不分红。 二、行业成分股股息率比较 我们对当前已披露分红预案的个股股息率进行了统计，其中，煤炭、银行和钢铁行业的股 息率排名前三。 三、已实现及剩余股息率 截至2025年8月20日： 上证50指数已实现股息率为2.15%，剩余股息率0.12%； 沪深300指数已实现股息率为1.71%，剩余股息率0.16%； 中证500指数已实现股息率为1.14%，剩余股息率0.05%； 中证1000指数已实现股息率为0.86%，剩余股息率0.05%。 四、股指期货升贴水情况跟踪 ...

Key Points - The article provides an overview of dividend progress among major stock indices as of August 13, 2025, highlighting the number of companies in different stages of dividend announcements and implementations [1][3][18] - It compares the dividend yields across various industries, noting that coal, banking, and steel sectors have the highest yields [2][4] - The realized and remaining dividend yields for major indices are detailed, with the Shanghai 50 Index showing a realized yield of 2.13% and a remaining yield of 0.13% [8][7] - The article tracks the premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 3.05%, while the IC and IM contracts show significant discounts [4][12] Group 1: Dividend Progress - As of August 13, 2025, the Shanghai 50 Index has 41 companies that have paid dividends, while 3 companies have not [1][3] - The CSI 300 Index has 243 companies that have paid dividends, with 25 companies not paying [1][3] - The CSI 500 Index has 397 companies that have paid dividends, with 77 companies not paying [1][3] - The CSI 1000 Index has 762 companies that have paid dividends, with 210 companies not paying [1][3] Group 2: Dividend Yield Comparison - The article presents statistics on the dividend yields of companies that have disclosed dividend plans, with coal, banking, and steel industries ranking the highest [2][4] - The median dividend yield for these sectors is highlighted, indicating strong performance in terms of returns for investors [4] Group 3: Realized and Remaining Dividend Yields - The realized dividend yields for major indices as of August 13, 2025, are as follows: - Shanghai 50 Index: 2.13%, remaining yield: 0.13% [8][7] - CSI 300 Index: 1.70%, remaining yield: 0.17% [8][7] - CSI 500 Index: 1.14%, remaining yield: 0.06% [8][7] - CSI 1000 Index: 0.87%, remaining yield: 0.04% [8][7] Group 4: Stock Index Futures Premium and Discount - The article tracks the annualized premium and discount of stock index futures, with the IH main contract at a premium of 3.05% [4][12] - The IF main contract shows a slight discount of 0.09%, while the IC and IM contracts exhibit deeper discounts of 8.05% and 8.43%, respectively [4][12]

- The report introduces a quantitative model for estimating dividend points in stock indices, which is crucial for accurately assessing the premium or discount in stock index futures contracts. The model incorporates factors such as component stock weights, dividend amounts, total market capitalization, and index closing prices[38][44][46] - The model calculates the dividend points for a stock index during the period from the current date (t) to the futures contract expiration date (T) using the formula: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount of Stock n}}{\text{Total Market Cap of Stock n}} \times \text{Weight of Stock n} \times \text{Index Closing Price} \right) $$ This formula ensures that only stocks with ex-dividend dates between t and T are included[38][44] - Component stock weights are dynamically adjusted using the formula: $$ W_{n,t} = \frac{w_{n0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{i})} $$ Here, \( w_{n0} \) represents the weight of stock \( n \) at the last disclosed date, and \( r_{n} \) is the non-adjusted return of stock \( n \) between the last disclosed date and the current date[45] - The model estimates net profit for stocks without disclosed data by categorizing companies into stable and unstable profit distribution groups. Stable companies are predicted based on historical patterns, while unstable ones use the previous year's profit as a proxy[47][50] - Dividend payout ratios are estimated using historical averages. If a company paid dividends in the previous year, that ratio is used; otherwise, a three-year average is applied. Companies with no dividend history are assumed not to pay dividends[51][53] - Ex-dividend dates are predicted using a linear extrapolation method based on historical intervals between announcement and ex-dividend dates. Default dates are applied if historical data is insufficient or inconsistent[51][56] - The model's accuracy was validated by comparing predicted dividend points with actual values for the Shanghai 50, CSI 300, and CSI 500 indices in 2023 and 2024. The Shanghai 50 and CSI 300 predictions showed errors within 5 points, while the CSI 500 had slightly larger errors, around 10 points[57][61][66]

Quantitative Models and Construction Methods - **Model Name**: Index Dividend Points Estimation Model **Model Construction Idea**: This model aims to estimate the dividend points of index futures by considering the dividend impact of constituent stocks, which is critical for accurately calculating the basis and premium/discount levels of index futures contracts[12][37] **Model Construction Process**: 1. **Dividend Points Formula**: Dividend points are calculated as: $ \text{Dividend Points} = \sum_{n=1}^{N} \frac{\text{Dividend Amount of Stock}_n}{\text{Market Cap of Stock}_n} \times \text{Weight of Stock}_n \times \text{Index Closing Price} $ Here, $N$ represents the number of constituent stocks, and only stocks with ex-dividend dates between the current date ($t$) and the contract expiration date ($T$) are included[37] 2. **Key Steps**: - Identify whether the company has disclosed dividend amounts and ex-dividend dates. If disclosed, use the provided data; otherwise, estimate these values[41] - For undisclosed dividend amounts, estimate based on the product of net profit and dividend payout ratio. Net profit is predicted using historical profit distribution patterns, while the payout ratio is estimated using historical averages[46][50] - For undisclosed ex-dividend dates, predict using historical intervals between announcement and ex-dividend dates, applying linear extrapolation if stable patterns exist[50][55] **Model Evaluation**: The model demonstrates high accuracy for indices like the SSE 50 and CSI 300, with prediction errors generally within 5 points. However, the prediction error for the CSI 500 index is slightly larger, around 10 points[60] Quantitative Factors and Construction Methods - **Factor Name**: Constituent Stock Weight Adjustment Factor **Factor Construction Idea**: Adjust the weights of index constituent stocks to reflect daily changes in stock prices and corporate actions, ensuring more precise dividend impact estimation[44] **Factor Construction Process**: 1. **Weight Adjustment Formula**: $ W_{n,t} = \frac{w_{n,0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i,0} \times (1 + r_{i})} $ Here, $w_{n,0}$ is the weight of stock $n$ at the last disclosed date, and $r_{n}$ is the non-adjusted return of stock $n$ from the last disclosed date to the current date[44] 2. **Data Source**: Use daily closing weights disclosed by the China Securities Index Company to ensure accuracy and avoid biases from corporate actions like stock splits or rights issues[45] - **Factor Name**: Net Profit Prediction Factor **Factor Construction Idea**: Predict annual net profit for constituent stocks based on historical profit distribution patterns, distinguishing between stable and unstable profit distributions[46] **Factor Construction Process**: 1. Classify companies into two categories: stable and unstable profit distributions 2. For stable companies, predict profits using historical distribution patterns. For unstable companies, use the previous year's profit as the prediction[49] - **Factor Name**: Dividend Payout Ratio Prediction Factor **Factor Construction Idea**: Estimate the dividend payout ratio using historical averages, considering the stability of corporate dividend policies[50] **Factor Construction Process**: 1. If the company paid dividends last year, use the previous year's payout ratio as the estimate 2. If no dividends were paid last year, use the average payout ratio of the past three years 3. If the company has never paid dividends, assume no dividends for the current year[52] - **Factor Name**: Ex-Dividend Date Prediction Factor **Factor Construction Idea**: Predict ex-dividend dates using historical intervals between announcement and ex-dividend dates, applying default dates if historical patterns are unavailable[50] **Factor Construction Process**: 1. If the company has disclosed the ex-dividend date, use the disclosed value 2. If not disclosed, estimate based on historical intervals, applying linear extrapolation for stable patterns 3. If historical data is insufficient, use default dates based on typical dividend schedules[55] Model Backtesting Results - **Index Dividend Points Estimation Model**: - SSE 50 Index: Prediction error within 5 points[60] - CSI 300 Index: Prediction error within 5 points[60] - CSI 500 Index: Prediction error within 10 points[60] Factor Backtesting Results - **Constituent Stock Weight Adjustment Factor**: Improved accuracy in daily weight adjustments, ensuring precise dividend impact estimation[45] - **Net Profit Prediction Factor**: Effective for distinguishing between stable and unstable profit distributions, enhancing dividend amount predictions[49] - **Dividend Payout Ratio Prediction Factor**: Reliable for companies with stable dividend policies, though less effective for companies with irregular payouts[52] - **Ex-Dividend Date Prediction Factor**: High accuracy for companies with stable historical patterns, with default dates providing reasonable estimates for others[55]

- The report introduces a dividend point estimation model for stock indices, which is crucial for accurately assessing the premium or discount levels of stock index futures contracts. The model incorporates key variables such as component stock weights, dividend amounts, total market capitalization, and index closing prices[38][43][39] - Component stock weights are dynamically adjusted using daily closing weight data provided by the China Securities Index Company to ensure accuracy. The formula for weight adjustment is: $$W_{n,t}={\frac{w_{i0}\times(1+r_{n})}{\sum_{i=1}^{N}w_{i0}\times(1+r_{n})}}$$ where \(w_{i0}\) represents the weight at the last disclosed date, and \(r_{n}\) is the non-reinvested return of the stock[44][45] - Dividend amounts are estimated using historical net profit distributions and dividend payout ratios. If a company has disclosed its annual dividend, the disclosed value is used; otherwise, the dividend is calculated as: Dividend Amount = Net Profit × Dividend Payout Ratio Net profit is predicted based on historical quarterly profit stability, while the dividend payout ratio is derived from historical averages[46][49][50] - Ex-dividend dates are forecasted using a linear extrapolation method based on historical intervals between dividend announcement dates and ex-dividend dates. If historical data is unavailable or unreliable, default dates are applied based on typical dividend timing patterns[50][55][54] - The model demonstrates high accuracy in predicting dividend points for major indices such as the SSE 50 and CSI 300, with annual prediction errors generally within 5 points. Predictions for the CSI 500 index show slightly larger deviations, typically around 10 points[56][60][64] - Backtesting results for stock index futures contracts reveal varying levels of annualized discount rates as of August 6, 2025: - IH futures: -0.93% - IF futures: -3.52% - IC futures: -18.10% - IM futures: -15.40%[4][13][12]

- The report introduces the dividend point estimation method for stock indices, emphasizing its importance in accurately assessing the premium or discount levels of stock index futures contracts. The calculation involves the weighted sum of dividend amounts divided by total market capitalization, adjusted by index closing prices[39][40][42] - The methodology for estimating dividend points includes key steps such as obtaining constituent stock weights, estimating dividend amounts, predicting net profits using historical distributions, and forecasting dividend payout ratios based on historical averages. Additionally, the ex-dividend date is predicted using linear extrapolation of historical intervals[42][44][47] - The formula for constituent stock weight adjustment is provided as: $$W_{n,t}={\frac{w_{i0}\times(1+r_{n})}{\sum_{i=1}^{N}w_{i0}\times(1+r_{n})}}$$ where \(w_{i0}\) represents the weight at the last disclosed date, and \(r_{n}\) denotes the non-reinvested return of stock \(n\)[45][46] - The report evaluates the accuracy of the dividend point estimation model, showing that for indices like SSE 50 and CSI 300, the annual prediction error is within 5 points, while for CSI 500, the error is slightly larger at around 10 points[57][61] - Historical data analysis reveals that the prediction model performs well for stock index futures contracts, with minimal deviation between forecasted and actual dividend points for SSE 50 and CSI 300 futures. CSI 500 futures exhibit slightly higher deviation[61][65][66]

Group 1 - As of July 22, 2025, the dividend progress of constituent stocks in major indices shows that 40 companies in the SSE 50 Index have distributed dividends, while 3 companies have not [1] - In the CSI 300 Index, 221 companies have distributed dividends, and 26 companies have not [1] - The CSI 500 Index has 370 companies that have distributed dividends, with 77 companies not distributing [1] - The CSI 1000 Index has 735 companies that have distributed dividends, while 210 companies have not [1] Group 2 - The current dividend yield statistics indicate that the coal, banking, and steel industries rank the highest in terms of dividend yield [4] - The realized dividend yields as of July 22, 2025, are 2.04% for the SSE 50 Index, 1.56% for the CSI 300 Index, 1.09% for the CSI 500 Index, and 0.86% for the CSI 1000 Index [6][49] - The remaining dividend yields are 0.17% for the SSE 50 Index, 0.27% for the CSI 300 Index, 0.15% for the CSI 500 Index, and 0.07% for the CSI 1000 Index [6] Group 3 - The annualized premium for the IH main contract is 3.30%, while the IF main contract has a premium of 2.68%. The IC main contract shows a discount of 5.68%, and the IM main contract has a discount of 9.94% as of July 22, 2025 [1] - The tracking of index futures premium and discount levels is essential for understanding market sentiment and risk preferences among institutional investors [2] Group 4 - The methodology for estimating dividend points in index futures is crucial for accurately assessing the premium and discount levels of futures contracts [28] - The report emphasizes the importance of considering the impact of constituent stock dividends on index point levels when calculating futures premiums [2][28]

Quantitative Models and Construction Methods Dividend Points Estimation Model - **Model Name**: Dividend Points Estimation Model - **Model Construction Idea**: This model estimates the dividend points of stock indices to account for the impact of constituent stock dividends on index futures' premium/discount levels. It is essential for accurately evaluating the fair value of index futures contracts[11][39][44]. - **Model Construction Process**: 1. **Formula**: The dividend points during the period from time \( t \) (current date) to \( T \) (futures contract expiration date) are calculated as: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount of Stock } n}{\text{Total Market Value of Stock } n} \times \text{Weight of Stock } n \times \text{Index Closing Price} \right) $$ Here: - \( N \): Number of constituent stocks - \( t < \text{Ex-Dividend Date} \leq T \): Only stocks with ex-dividend dates within the specified period are considered[39]. 2. **Steps**: - Obtain constituent stock weights and market values. - Estimate dividend amounts for stocks without disclosed data using: - **Net Profit Estimation**: Based on historical profit distribution patterns or prior-year profits for unstable companies[47][50]. - **Dividend Payout Ratio Estimation**: Use historical averages or prior-year ratios, with adjustments for outliers[51][53]. - Predict ex-dividend dates using historical intervals or default dates if no data is available[56]. 3. **Adjustments**: - Use daily weight data from the China Securities Index Company for accuracy[46]. - Handle special cases like stock adjustments, unlocking, or rights issues to minimize bias[46]. - **Model Evaluation**: The model demonstrates high accuracy for indices like the SSE 50 and CSI 300, with prediction errors typically within 5 points. For the CSI 500, the error margin is slightly larger, around 10 points[57][61]. --- Model Backtesting Results Dividend Points Estimation Model - **SSE 50 Index**: Prediction error within 5 points for annual dividend points in 2023 and 2024[61][65]. - **CSI 300 Index**: Prediction error within 5 points for annual dividend points in 2023 and 2024[61][66]. - **CSI 500 Index**: Prediction error within 10 points for annual dividend points in 2023 and 2024[61][70]. --- Quantitative Factors and Construction Methods Realized and Remaining Dividend Yield Factors - **Factor Name**: Realized Dividend Yield and Remaining Dividend Yield - **Factor Construction Idea**: These factors measure the dividend yield already distributed and the expected remaining yield for the year, providing insights into the dividend contribution to index returns[16]. - **Factor Construction Process**: 1. **Formulas**: - Realized Dividend Yield: $$ \text{Realized Dividend Yield} = \sum_{i=1}^{N_1} \left( \frac{\text{Dividend Amount of Stock } i}{\text{Market Value of Stock } i} \times \text{Weight of Stock } i \right) $$ - Remaining Dividend Yield: $$ \text{Remaining Dividend Yield} = \sum_{j=1}^{N_2} \left( \frac{\text{Expected Dividend Amount of Stock } j}{\text{Market Value of Stock } j} \times \text{Weight of Stock } j \right) $$ Here: - \( N_1 \): Number of stocks that have already paid dividends - \( N_2 \): Number of stocks yet to pay dividends[16]. 2. **Data Inputs**: - Realized dividend amounts for stocks that have already distributed dividends. - Estimated dividend amounts for stocks yet to distribute dividends, based on historical payout ratios and profit estimates[47][51]. - **Factor Evaluation**: These factors provide a clear breakdown of dividend contributions to index returns, aiding in the analysis of dividend-related investment strategies[16]. --- Factor Backtesting Results Realized and Remaining Dividend Yield Factors - **SSE 50 Index**: - Realized Dividend Yield: 2.04% - Remaining Dividend Yield: 0.17%[3][16]. - **CSI 300 Index**: - Realized Dividend Yield: 1.56% - Remaining Dividend Yield: 0.27%[3][16]. - **CSI 500 Index**: - Realized Dividend Yield: 1.09% - Remaining Dividend Yield: 0.15%[3][16]. - **CSI 1000 Index**: - Realized Dividend Yield: 0.86% - Remaining Dividend Yield: 0.07%[3][16].

Quantitative Models and Factors Summary Quantitative Models and Construction Methods Model 1: Index Dividend Point Estimation Model - **Model Name**: Index Dividend Point Estimation Model - **Model Construction Idea**: The model aims to estimate the dividend points of index components to accurately calculate the futures basis and premium/discount levels by considering the impact of dividends on index points[12][39] - **Model Construction Process**: 1. **Component Stock Weight**: Adjust the weight of component stocks from the last disclosed date to the current date using the formula: $$ W_{n,t} = \frac{w_{i0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{n})} $$ where \( w_{i0} \) is the weight on the last disclosed date, and \( r_{n} \) is the non-adjusted return of the stock[45] 2. **Net Profit Prediction**: Use historical net profit distribution to dynamically predict the annual net profit of the company. If the company has disclosed annual reports or performance forecasts, use the disclosed data; otherwise, estimate based on historical data[47][50] 3. **Dividend Payout Ratio Prediction**: Use historical dividend payout ratios to estimate the current year's payout ratio. If the company has not disclosed the dividend amount, estimate it using the predicted net profit and historical payout ratio[51] 4. **Ex-Dividend Date Prediction**: Predict the ex-dividend date based on historical intervals between announcement and ex-dividend dates using linear extrapolation[55] 5. **Dividend Points Calculation**: Calculate the dividend points using the formula: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount}}{\text{Total Market Value}} \times \text{Component Weight} \times \text{Index Closing Price} \right) $$ where the ex-dividend date should be greater than the current date and less than or equal to the futures contract expiration date[39] - **Model Evaluation**: The model shows high accuracy in predicting dividend points for major indices like the SSE 50 and CSI 300, with minor deviations for the CSI 500 index[57][61] Model Backtesting Results - **Index Dividend Point Estimation Model**: - **SSE 50 Index**: Prediction error within 5 points[61] - **CSI 300 Index**: Prediction error within 5 points[61] - **CSI 500 Index**: Prediction error within 10 points[61] Quantitative Factors and Construction Methods Factor 1: Realized Dividend Yield - **Factor Name**: Realized Dividend Yield - **Factor Construction Idea**: Calculate the realized dividend yield of index components to monitor the dividend progress and remaining yield for the year[3][17] - **Factor Construction Process**: 1. **Realized Dividend Yield Calculation**: $$ \text{Realized Dividend Yield} = \sum_{i=1}^{N_{1}} \left( \frac{\text{Dividend Amount}}{\text{Total Market Value}} \times \text{Component Weight} \right) $$ where \( N_{1} \) is the number of companies that have paid dividends[17] 2. **Remaining Dividend Yield Calculation**: $$ \text{Remaining Dividend Yield} = \sum_{i=1}^{N_{2}} \left( \frac{\text{Dividend Amount}}{\text{Total Market Value}} \times \text{Component Weight} \right) $$ where \( N_{2} \) is the number of companies that have not yet paid dividends[17] - **Factor Evaluation**: The factor provides a clear view of the dividend progress and remaining potential dividends for the year, aiding in investment decisions[3][17] Factor Backtesting Results - **Realized Dividend Yield**: - **SSE 50 Index**: Realized yield 1.80%, remaining yield 0.46%[3] - **CSI 300 Index**: Realized yield 1.35%, remaining yield 0.53%[3] - **CSI 500 Index**: Realized yield 1.09%, remaining yield 0.20%[3] - **CSI 1000 Index**: Realized yield 0.83%, remaining yield 0.12%[3]