Group 1: Dividend Progress of Constituent Stocks - As of March 18, 2026, in the SSE 50 Index, 1 company is in the proposal stage, 0 in the decision stage, 0 in the implementation stage, 1 has distributed dividends, and 2 do not distribute dividends [1] - In the CSI 300 Index, 17 companies are in the proposal stage, 0 in the decision stage, 0 in the implementation stage, 2 have distributed dividends, and 23 do not distribute dividends [1] - In the CSI 500 Index, 17 companies are in the proposal stage, 1 in the decision stage, 0 in the implementation stage, 0 have distributed dividends, and 66 do not distribute dividends [1] - In the CSI 1000 Index, 24 companies are in the proposal stage, 0 in the decision stage, 0 in the implementation stage, 0 have distributed dividends, and 223 do not distribute dividends [1] Group 2: Dividend Yield Comparison by Industry - The current dividend yield statistics show that the coal, banking, and steel industries rank the top three in terms of dividend yield among the disclosed dividend proposals [2][3] Group 3: Realized and Remaining Dividend Yields - As of March 18, 2026, the realized dividend yield for the SSE 50 Index is 0.00%, with a remaining dividend yield of 2.82% [8] - The realized dividend yield for the CSI 300 Index is 0.00%, with a remaining dividend yield of 2.14% [8] - The realized dividend yield for the CSI 500 Index is 0.00%, with a remaining dividend yield of 1.17% [8] - The realized dividend yield for the CSI 1000 Index is 0.00%, with a remaining dividend yield of 0.89% [8] Group 4: Tracking of Index Futures Premium/Discount - As of March 18, 2026, the annualized discount for the IH main contract is 2.04%, for the IF main contract is 6.75%, for the IC main contract is 9.65%, and for the IM main contract is 11.28% [1][3] - The tracking of index futures premium/discount levels will consider the impact of constituent stock dividends on the index point drop [2][3] Group 5: Methodology for Dividend Point Estimation - The methodology for estimating dividend points considers the dividend distribution of constituent stocks and their impact on index futures pricing [23][25] - The estimation process involves obtaining accurate data on constituent stock weights, dividend amounts, and total market capitalization [26][28] - The prediction of dividend amounts is based on historical net profit distributions and dividend payout ratios [29][30]

- The report introduces the dividend point estimation method for stock indices, emphasizing its importance in accurately calculating the premium or discount of stock index futures contracts, which track price indices rather than total return indices[42][11][43] - The dividend point estimation formula is presented as follows: $$\text{Dividend Points} = \sum_{n=1}^{N} \frac{\text{Dividend Amount of Component Stock}}{\text{Total Market Value of Component Stock}} \times \text{Component Stock Weight} \times \text{Index Closing Price}$$ This formula requires the dividend date of component stocks to be greater than the current date and less than or equal to the futures contract expiration date[42][43][45] - The estimation process involves several steps: 1. Determining whether the company has disclosed dividend amounts and dates. If not, estimating these values based on historical data[45] 2. Estimating dividend amounts using the formula: $$\text{Dividend Amount} = \text{Net Profit} \times \text{Dividend Payout Ratio}$$ Net profit is predicted dynamically based on historical profit distributions, while the dividend payout ratio is estimated using historical averages[50][52][53] 3. Predicting the ex-dividend date using a linear extrapolation method based on historical intervals between dividend announcements and ex-dividend dates[54][59][57] - The report highlights the accuracy of the dividend point estimation model, showing that for indices like the SSE 50 and CSI 300, the annual prediction error is within 5 points, while for CSI 500 and CSI 1000, the error is around 10 points[60][64][66] - The report also tracks the premium or discount levels of major stock index futures contracts (IH, IF, IC, IM), analyzing their historical trends and current positions in historical percentiles. For example, IH is at the 23rd percentile, IF at the 34th, IC at the 64th, and IM at the 57th percentile[27][29][34]

Group 1: Dividend Progress of Constituent Stocks - As of March 11, 2026, in the SSE 50 Index, 0 companies are in the proposal stage, 0 in the decision stage, 0 in the implementation stage, 1 company has distributed dividends, and 3 companies do not distribute dividends [1] - In the CSI 300 Index, 9 companies are in the proposal stage, 0 in the decision stage, 0 in the implementation stage, 2 companies have distributed dividends, and 24 companies do not distribute dividends [1] - In the CSI 500 Index, 8 companies are in the proposal stage, 1 in the decision stage, 0 in the implementation stage, 0 companies have distributed dividends, and 65 companies do not distribute dividends [1] - In the CSI 1000 Index, 9 companies are in the proposal stage, 0 in the decision stage, 1 in the implementation stage, 0 companies have distributed dividends, and 223 companies do not distribute dividends [1] Group 2: Dividend Yield Comparison by Industry - The current dividend yields of disclosed dividend proposals show that the banking, coal, and steel industries rank the top three in terms of yield [1][3] Group 3: Realized and Remaining Dividend Yields - As of March 11, 2026, the realized dividend yield for the SSE 50 Index is 0.00%, with a remaining yield of 2.77% [1][7] - The realized dividend yield for the CSI 300 Index is 0.00%, with a remaining yield of 2.12% [1][7] - The realized dividend yield for the CSI 500 Index is 0.00%, with a remaining yield of 1.10% [1][7] - The realized dividend yield for the CSI 1000 Index is 0.00%, with a remaining yield of 0.86% [1][7] Group 4: Tracking of Index Futures Premiums and Discounts - As of March 11, 2026, the annualized discount for the IH main contract is 2.09%, for the IF main contract is 15.09%, for the IC main contract is 20.91%, and for the IM main contract is 24.50% [1][3] - The tracking of index futures premiums and discounts considers the impact of constituent stock dividends on index point levels [2][25] Group 5: Methodology for Dividend Point Estimation - The methodology for estimating dividend points considers the difference between price indices and total return indices, where dividends lead to a natural drop in index points [25][31] - The estimation process involves calculating the dividend points based on the dividend amounts, total market capitalization, and index closing prices of constituent stocks [31][33]

Quantitative Models and Construction Methods 1. Model Name: Dividend Point Estimation Model - **Model Construction Idea**: The model aims to estimate the dividend points of index futures by considering the impact of component stock dividends on the index points[12][43]. - **Model Construction Process**: 1. **Component Stock Weight**: Adjust the weight of component stocks from non-precise estimation to precise acquisition using daily closing weight data provided by the China Securities Index Company[49][50]. 2. **Net Profit Prediction**: Use a dynamic prediction method based on historical net profit distribution. For companies with stable profit distribution, predict according to historical patterns; for those with unstable distribution, use the previous year's profit as the prediction value[51][53]. 3. **Dividend Payout Ratio Prediction**: Use historical dividend payout ratios to estimate the current year's ratio. If the company paid dividends last year, use last year's ratio; if not, use the average of the past three years[54][57]. 4. **Ex-Dividend Date Prediction**: Predict the ex-dividend date based on the stability of the interval days between the announcement and the ex-dividend date in the past three years. If the interval is stable, use the average interval for linear extrapolation; otherwise, use a default date[55][60]. 5. **Formula**: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Component Stock Dividend Amount}}{\text{Component Stock Total Market Value}} \times \text{Component Stock Weight} \times \text{Index Closing Price} \right) $$ where the ex-dividend date should be greater than the current date and less than or equal to the index futures contract expiration date[43]. - **Model Evaluation**: The model shows high accuracy in predicting the dividend points for major indices like the SSE 50 and CSI 300, with errors generally within 5 points. For the CSI 500 and CSI 1000 indices, the prediction error is slightly larger but still stable within 10 points[61][65]. Model Backtesting Results - **SSE 50 Index Futures**: The predicted dividend points closely match the actual dividend points, with minor deviations observed in 2024 and 2025[68][69]. - **CSI 300 Index Futures**: The model accurately predicts the dividend points, with the actual points aligning well with the predictions for both 2024 and 2025[70][73]. - **CSI 500 Index Futures**: The prediction accuracy is slightly lower compared to the SSE 50 and CSI 300, but the model still performs well with deviations within acceptable ranges[74][76]. - **CSI 1000 Index Futures**: Similar to the CSI 500, the model's predictions are reasonably accurate, with deviations observed but within a manageable range[77][78]. Quantitative Factors and Construction Methods 1. Factor Name: Dividend Yield Factor - **Factor Construction Idea**: The factor is constructed to capture the dividend yield of stocks, which is calculated as the dividend amount divided by the current market value[2][15]. - **Factor Construction Process**: 1. **Data Collection**: Gather the dividend plans and current market values of stocks that have disclosed their dividend plans[2][15]. 2. **Calculation**: Compute the dividend yield for each stock using the formula: $$ \text{Dividend Yield} = \frac{\text{Dividend Amount}}{\text{Current Market Value}} $$ - **Factor Evaluation**: The dividend yield factor is effective in identifying stocks with high dividend yields, with the banking, coal, and steel industries ranking the highest in terms of dividend yield[2][15]. Factor Backtesting Results - **Dividend Yield Factor**: The factor shows that the banking, coal, and steel industries have the highest median dividend yields among the disclosed dividend plans[2][15].

Group 1: Dividend Progress of Constituent Stocks - As of March 4, 2026, in the SSE 50 Index, 0 companies are in the proposal stage, 0 in the decision stage, 0 in the implementation stage, 1 company has distributed dividends, and 3 companies do not distribute dividends [1] - In the CSI 300 Index, 1 company is in the proposal stage, 0 in the decision stage, 1 in the implementation stage, 1 company has distributed dividends, and 24 companies do not distribute dividends [1] - In the CSI 500 Index, 5 companies are in the proposal stage, 0 in the decision stage, 2 in the implementation stage, 0 companies have distributed dividends, and 65 companies do not distribute dividends [1] - In the CSI 1000 Index, 4 companies are in the proposal stage, 1 in the decision stage, 0 in the implementation stage, 0 companies have distributed dividends, and 224 companies do not distribute dividends [1] Group 2: Dividend Yield Comparison by Industry - The current dividend yields of disclosed dividend proposals show that the coal, banking, and steel industries rank the top three in terms of yield [2][3] Group 3: Achieved and Remaining Dividend Yields - As of March 4, 2026, the achieved dividend yield for the SSE 50 Index is 0.00%, with a remaining yield of 2.80% [8] - The achieved dividend yield for the CSI 300 Index is 0.00%, with a remaining yield of 2.14% [8] - The achieved dividend yield for the CSI 500 Index is 0.00%, with a remaining yield of 1.14% [8] - The achieved dividend yield for the CSI 1000 Index is 0.00%, with a remaining yield of 0.89% [8] Group 4: Tracking of Index Futures Premium/Discount - As of March 4, 2026, the annualized discount for the IH main contract is 1.54%, for the IF main contract is 5.76%, for the IC main contract is 8.08%, and for the IM main contract is 8.54% [1][3] - The report includes daily tracking of the index futures premium/discount levels, considering the impact of constituent stock dividends on the index [2][24] Group 5: Methodology for Dividend Point Estimation - The report outlines a methodology for estimating dividend points for index futures, emphasizing the importance of accounting for dividend impacts on index levels [24][26] - The methodology includes obtaining constituent stock weights, dividend amounts, total market capitalization, and index closing prices to accurately estimate dividend points [26][28] - The report also discusses the dynamic forecasting of net profit and dividend payout ratios based on historical distributions [29][34]

========= - The report tracks the dividend progress of constituent stocks in major indices as of March 4, 2026, including the Shanghai Stock Exchange 50 Index, CSI 300 Index, CSI 500 Index, and CSI 1000 Index[2][15] - The dividend yield comparison of industry constituent stocks shows that the banking, coal, and steel industries rank top three in terms of dividend yield[3][16] - The realized and remaining dividend yields for major indices as of March 4, 2026, are provided, with the Shanghai Stock Exchange 50 Index having a remaining dividend yield of 2.80%, the CSI 300 Index 2.14%, the CSI 500 Index 1.14%, and the CSI 1000 Index 0.89%[4][18] - The futures contracts' premium and discount tracking as of March 4, 2026, shows the annualized discount rates for IH, IF, IC, and IM main contracts[5][14] - The methodology for calculating index dividend points is introduced, including the estimation of constituent stock weights, net profit prediction, dividend payout ratio prediction, and ex-dividend date prediction[10][44][45][47] - The accuracy of the index dividend point calculation is analyzed, showing that the model has high prediction accuracy for the Shanghai Stock Exchange 50 Index and CSI 300 Index, with errors around 5 points, and slightly larger errors for the CSI 500 Index and CSI 1000 Index, around 10 points[62][66] - The report includes charts showing the historical premium and discount levels of main futures contracts, the dividend progress of major indices, and the prediction accuracy of index dividend points[19][21][23][37][38][39][42][63][69][71][75][77][79] =========

Group 1: Interest Rates and Central Bank Operations - DR001 closed at 1.38 with a 1.66 bp increase, DR007 at 1.51 with a 4.79 bp decrease, GC001 at 1.55 with a 15.50 bp decrease, GC007 at 1.59 with a 3.50 bp decrease, SHBOR 3M at 1.58 with a 0.02 bp decrease, LPR 5 - year at 3.50 with no change, 1 - year treasury at 1.32 with a 0.77 bp increase, 5 - year treasury at 1.55 with a 1.29 bp increase, 10 - year treasury at 1.82 with a 1.42 bp increase, and 10 - year US treasury at 4.04 with a 1.00 bp increase [4] - The central bank conducted 4095 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40% yesterday. With 4000 billion yuan of reverse repurchases maturing, the net injection was 95 billion yuan [4] - In February, the LPR rates remained unchanged: 1 - year LPR was 3.0%, and 5 - year and above LPR was 3.5%. From February 24th - 28th, 22524 billion yuan of reverse repurchases will mature, with 14524 billion, 4000 billion, and 4000 billion maturing on February 24th, 25th, and 26th respectively. Also, on February 25th, 3000 billion yuan of MLF and 1500 billion yuan of treasury cash fixed - term deposits will mature [5] Group 2: Stock Index and Futures Market - The CSI 300 rose 0.6% to 4735.9, the SSE 50 rose 0.45% to 3054.9, the CSI 500 rose 1.6% to 8527.6, and the CSI 1000 rose 1.52% to 8426.3. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets reached 24812 billion yuan, an increase of 2628 billion yuan from the previous day. Most industry sectors closed higher, with rare earths, small metals, energy metals, real estate services, steel, non - ferrous metals, and aerospace equipment sectors leading the gains, while the film and television theater and advertising marketing sectors leading the losses [6] - IF volume was 106320 with an 8.7% increase, IF open interest was 283440 with a 6.9% increase; IH volume was 52712 with a 24.8% increase, IH open interest was 108963 with a 9.6% increase; IC volume was 126978 with a 3.0% increase, IC open interest was 298578 with a 5.7% increase; IM volume was 166542 with a 2.9% decrease, IM open interest was 372430 with a 1.9% increase [6] - The IF basis for the current - month contract was 1.50%, next - month 1.34%, current - quarter 2.67%, and next - quarter 3.60%; the IH basis was - 1.70%, - 1.00%, 0.16%, and 2.08% respectively; the IC basis was - 0.27%, 1.07%, 3.39%, and 4.40% respectively; the IM basis was 3.90%, 4.43%, 6.80%, and 7.56% respectively [8] Group 3: Real Estate Policy and Market Outlook - Shanghai launched post - holiday real - estate regulatory optimization measures, shortening the social security or tax payment period for non - local residents to buy houses in the inner - ring area to 1 year, increasing the maximum first - home provident fund loan limit from 1.6 million yuan to 2.4 million yuan, and further increasing it to 3.24 million yuan for multi - child families or those buying green buildings.沪籍 families buying their only new home are exempt from property tax [7] - Driven by favorable policies, the stock index is running strongly. With the expected policy benefits from the upcoming "Two Sessions", the stock index is expected to fluctuate strongly. Long - term and medium - term long positions in stock index futures are recommended to be held [7]

- The report discusses the methodology for calculating dividend points in stock indices, which is crucial for accurately estimating the premium or discount in stock index futures contracts. The calculation considers the dividend impact of index constituent stocks, which naturally causes the index level to drop in price indices but is reinvested in total return indices[12][42][45] - The dividend points are calculated using the formula: $$\text{Dividend Points} = \sum_{n=1}^{N} \frac{\text{Dividend Amount of Stock}_n}{\text{Total Market Value of Stock}_n} \times \text{Weight of Stock}_n \times \text{Index Closing Price}$$ Here, \(N\) represents the number of constituent stocks, and the calculation only includes stocks with ex-dividend dates between the current date and the futures contract expiration date[42][45] - The methodology for estimating key parameters includes: 1. **Constituent Stock Weights**: Adjusted daily using the formula: $$W_{n,t} = \frac{w_{n0} \times (1 + r_n)}{\sum_{i=1}^{N} w_{i0} \times (1 + r_i)}$$ where \(w_{n0}\) is the weight of stock \(n\) on the last disclosed date, and \(r_n\) is the non-adjusted return of stock \(n\) since that date[46] 2. **Dividend Amounts**: Estimated as the product of net profit and dividend payout ratio. If not disclosed, net profit is predicted using historical profit distribution patterns, and the payout ratio is estimated using historical averages[48][51] 3. **Ex-Dividend Dates**: Predicted using historical patterns and linear extrapolation based on the stability of the time interval between announcement and ex-dividend dates[52][57] - The accuracy of the dividend point estimation model is evaluated by comparing predicted and actual dividend points for indices like SSE 50, CSI 300, CSI 500, and CSI 1000. The model shows high accuracy, with errors generally within 5 points for SSE 50 and CSI 300, and within 10 points for CSI 500 and CSI 1000[58][62][65]

- The report introduces the dividend point estimation method for stock indices, emphasizing its importance in accurately calculating the premium or discount of stock index futures contracts. The method involves estimating dividend points based on constituent stock dividends, total market capitalization, stock weights, and index closing prices[48][49][51] - The calculation formula for dividend points is provided as: $$\text{Dividend Points} = \sum_{n=1}^{N} \frac{\text{Dividend Amount of Constituent Stock}}{\text{Total Market Capitalization of Constituent Stock}} \times \text{Stock Weight} \times \text{Index Closing Price}$$ This formula ensures that only stocks with ex-dividend dates between the current date and the futures contract expiration date are considered[48] - The report details the process of estimating constituent stock weights, transitioning from approximate monthly data to precise daily weights using data disclosed by the China Securities Index Company. The formula for weight estimation is: $$W_{n,t} = \frac{w_{n0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{i})}$$ Here, \(w_{n0}\) represents the weight of stock \(n\) at the last disclosed date, and \(r_{n}\) is the non-reinvested return of stock \(n\) during the period[52][53] - The report explains the dynamic prediction method for estimating net profits of constituent stocks. For companies with stable profit distributions, historical patterns are used, while for others, the previous year's profit is adopted. Dividends are calculated as: $$\text{Dividend Amount} = \text{Net Profit} \times \text{Dividend Payout Ratio}$$ This approach ensures accurate dividend estimation for stocks without disclosed data[54][56] - Historical dividend payout ratios are used to predict current ratios, with adjustments for companies that have not paid dividends in recent years or have payout ratios exceeding 100%. The prediction process includes linear extrapolation based on historical intervals between dividend announcement and ex-dividend dates[57][60][63] - The report evaluates the accuracy of the dividend point estimation model, showing minimal errors for indices like the SSE 50 and CSI 300 (around 5 points), while slightly larger errors (around 10 points) are observed for CSI 500 and CSI 1000 indices. The model demonstrates strong predictive performance for stock index futures contracts[64][68] - Backtesting results for stock index futures contracts reveal varying annualized premium or discount rates across indices. For example, IH contracts show a premium of 1.27%, IF contracts a premium of 0.79%, IC contracts a discount of 0.94%, and IM contracts a discount of 4.48%[4][13][25]

- The report introduces the dividend point estimation method for stock indices, emphasizing its importance in accurately calculating the premium or discount levels of stock index futures contracts, which track price indices rather than total return indices[43][12][44] - The dividend point estimation process involves key metrics such as component stock weights, dividend amounts, total market capitalization, and index closing prices. While some data like market capitalization and closing prices are directly accessible, component stock weights and dividend amounts require further estimation[48][43][44] - Component stock weights are refined from monthly data provided by mainstream data providers to daily weights using a formula that adjusts for non-reinvested price changes. The formula 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 of stock \(n\) at the last disclosed date, and \(r_{n}\) is the non-reinvested price change of stock \(n\) during the period[49][50] - Dividend amounts are estimated using the formula: Dividend Amount = Net Profit × Dividend Payout Ratio Net profit is dynamically predicted based on historical profit distributions, categorizing companies into stable and unstable profit distribution groups. Stable companies follow historical patterns, while unstable ones use prior-year data as a reference[51][53][56] - Dividend payout ratios are predicted using historical averages. If a company paid dividends last year, the previous year's ratio is used; otherwise, a three-year average is applied. Companies with no dividend history are assumed not to pay dividends[54][57][55] - Ex-dividend dates are forecasted using historical intervals and linear extrapolation methods. If historical dates are deemed unreasonable, default dates are applied based on typical dividend announcement timelines[55][60][58] - The accuracy of the dividend point estimation model is validated by comparing predicted dividend points with actual points for major indices like the SSE 50, CSI 300, CSI 500, and CSI 1000. The model demonstrates high accuracy, with errors generally within 5 points for SSE 50 and CSI 300, and within 10 points for CSI 500 and CSI 1000[61][65][43] - The report highlights the predictive accuracy of the model for stock index futures contracts, showing minimal deviation between forecasted and actual dividend points for contracts across different indices[65][68][70]