1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - The stock index futures market showed a continuous downward trend, with pharmaceutical and biological and power equipment contributing to the main decline of the CSI 300 Index, and pharmaceutical and biological and non - ferrous metals contributing to the main decline of the SSE 50 Index, CSI 500 Index, and CSI 1000 Index. The trading volume of each variety increased month - on - month, and the basis strengthened [4]. - For the bond futures market, the basis of bond futures fluctuated narrowly this week, some contracts experienced CTD switching affected by new bonds, the IRR generally fluctuated at a high level, and the inter - period spread mainly declined. The net value of the multi - factor timing strategy for bond futures increased this week, and the strategy signals were mostly bullish. The net value of the cross - variety arbitrage strategy for bond futures increased, and the current credit bond duration rotation plus hedging strategy holds the 1 - 3 - year index with reduced duration and conducts bond futures hedging [55]. - In the commodity market, last week, the domestic commodity market was affected by the conflict situation in the Middle East. Crude oil and related energy and chemical varieties mostly rose, and most commodity factors continued to rise, with the term structure factors performing the best, followed by the price - volume trend factors [75]. 3. Summary by Related Catalogs 3.1 Stock Index Futures 3.1.1 Market Review - The market showed a continuous downward trend, and the trading volume of each variety increased month - on - month, with the basis strengthening. Pharmaceutical and biological and power equipment contributed to the main decline of the CSI 300 Index, and pharmaceutical and biological and non - ferrous metals contributed to the main decline of the SSE 50 Index, CSI 500 Index, and CSI 1000 Index [4]. 3.1.2 Basis Strategy - The basis of stock index futures strengthened significantly. After the dividend adjustment of IC and IM, the discounts converged to 8.6% and 12.1% respectively. It is recommended to wait and see for the inter - period arbitrage strategy, and short - selling hedging is recommended to hold near - month contracts to avoid the risk of further basis convergence [4]. 3.1.3 Arbitrage Strategy Tracking - In the inter - period arbitrage strategy, the strategy net value declined significantly last week, with the annualized basis rate, positive arbitrage, and momentum factors losing 0.5%, 0.7%, and 0.5% respectively (6 - times leverage). The annualized basis rate factor gave reverse arbitrage signals for IH, IF, and IM, and a positive arbitrage signal for IC [5]. - The net value of the cross - variety arbitrage timing strategy lost 0.1% last week. The cross - variety momentum signals performed poorly, and all portfolios were currently empty [6]. 3.1.4 Timing Strategy Tracking - The daily timing strategy models were profitable last week, with the single - factor equal - weight, OLS, and XGB models earning 0.2%, 0%, and 1.2% respectively. The bearish signals of the timing models strengthened, with the XGB model bearish on all indices, and the OLS model bullish on the SSE 50 and CSI 300 and bearish on the CSI 500 and CSI 1000 [7]. 3.2 Bond Futures 3.2.1 This Week's Strategy Focus - In terms of basis and inter - period spreads, the basis of bond futures fluctuated narrowly this week, some contracts experienced CTD switching affected by new bonds, the IRR generally fluctuated at a high level, and the inter - period spread mainly declined. The uncertainty of the inter - period spread increased after a short - term rebound [55]. - For the futures timing strategy, the net value of the multi - factor timing strategy increased this week, and the strategy signals were mostly bullish, with the main bullish factors being the basis factor and high - frequency factor [55]. - In the futures cross - variety arbitrage strategy, the latest signal of the TS - T cross - variety arbitrage strategy was volatile, and the latest signal of the T - TL strategy was bearish [55]. - For the credit bond neutral strategy, the bond futures hedging pressure index based on far - month contracts continued to rebound, and the current credit bond duration rotation plus hedging strategy holds the 1 - 3 - year index with reduced duration and conducts bond futures hedging [55]. 3.3 Commodity CTA 3.3.1 Commodity Factor Performance - Last week, the domestic commodity market was affected by the conflict situation in the Middle East. Crude oil and related energy and chemical varieties mostly rose, and most commodity factors continued to rise. The term structure factors performed the best, with an average increase of over 1%, followed by the price - volume trend factors, with an average increase of over 0.5%. Only the warehouse receipt factors declined [75]. 3.3.2 Tracking Strategy Performance - Different tracking strategies had different performance indicators such as annualized return, Sharpe ratio, Calmar ratio, maximum drawdown, recent weekly return, and year - to - date return. For example, the CWFT strategy had an annualized return of 10.1%, a Sharpe ratio of 1.70, and a maximum drawdown of - 8.81%, with a recent weekly return of 0.11% and a year - to - date return of 3.76% [76].

Quantitative Models and Construction Methods 1. Model Name: Dividend Impact Prediction Model - **Model Construction Idea**: The model aims to predict the impact of dividends on stock index futures pricing by estimating the dividend points and their influence on futures contracts[6][10][18] - **Model Construction Process**: 1. **Estimate Component Stocks' Net Profit**: Use annual reports, quick reports, earnings warnings, or analysts' profit forecasts to estimate net profits[21][22] 2. **Calculate Pre-Tax Dividend Total**: Based on the assumption that the dividend payout ratio remains unchanged, calculate the total dividend amount as: $$ \text{Estimated Dividend Total} = \text{Estimated Net Profit} \times \text{Dividend Payout Ratio} $$ If no dividends were distributed in the previous year, assume no dividends this year[26] 3. **Calculate Dividend Impact on Index**: - Dividend Yield: $$ \text{Dividend Yield} = \frac{\text{Tax-Adjusted Dividend Total}}{\text{Latest Market Value}} $$ - Dividend Points: $$ \text{Dividend Points Impact} = \text{Stock Weight} \times \text{Dividend Yield} $$ - Adjust stock weights using the formula: $$ w_{it} = \frac{w_{i0} \times (1 + R_1)}{\sum_{1}^{n} w_{i0} \times (1 + R_1)} $$ where \( w_{i0} \) is the initial weight, and \( R_1 \) is the stock's return[23] 4. **Predict Dividend Impact on Futures Contracts**: Aggregate all dividends before the contract's delivery date to calculate the total impact on futures contracts[28] - **Model Evaluation**: The model provides a systematic and logical approach to estimate dividend impacts, but its accuracy depends on the reliability of input assumptions and historical data[18][26] --- Model Backtesting Results 1. Dividend Impact Prediction Model - **Dividend Points for July Contracts**: - SSE 50: 40.84 - CSI 300: 38.26 - CSI 500: 19.23 - CSI 1000: 17.88[6][10] - **Annualized Hedging Costs (Excluding Dividends)**: - SSE 50: -1.91% - CSI 300: 1.35% - CSI 500: 7.37% - CSI 1000: 10.19%[6][10] - **Remaining Dividend Impact on July Contracts**: - SSE 50: 1.53% - CSI 300: 0.99% - CSI 500: 0.34% - CSI 1000: 0.30%[14] --- Quantitative Factors and Construction Methods 1. Factor Name: Theoretical Pricing Model for Stock Index Futures - **Factor Construction Idea**: This factor calculates the theoretical price of stock index futures based on the no-arbitrage principle, considering dividends and risk-free rates[30][31] - **Factor Construction Process**: 1. **Discrete Dividend Distribution**: $$ D = \sum_{i=1}^{m} \frac{D_i}{(1 + r_i)} $$ where \( D_i \) is the dividend amount at time \( t_i \), and \( r_i \) is the risk-free rate between \( t_i \) and \( t \)[30] The theoretical futures price is: $$ F_t = (S_t - D)(1 + r) $$ 2. **Continuous Dividend Distribution**: $$ F_t = S_t \cdot e^{(r-d)(T-t)} $$ where \( d \) is the annualized dividend yield, and \( r \) is the annualized risk-free rate[31] - **Factor Evaluation**: The model is robust under the no-arbitrage assumption but may deviate in real markets due to transaction costs and market frictions[30][31] --- Factor Backtesting Results 1. Theoretical Pricing Model for Stock Index Futures - **Annualized Hedging Costs (Excluding Dividends)**: - SSE 50: -1.91% - CSI 300: 1.35% - CSI 500: 7.37% - CSI 1000: 10.19%[6][10] - **Remaining Dividend Impact on July Contracts**: - SSE 50: 1.53% - CSI 300: 0.99% - CSI 500: 0.34% - CSI 1000: 0.30%[14]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The stock index futures market shows an upward trend, with different industries contributing to the gains of various indices. The subsequent basis trend is affected by complex factors, and both the roll - over strategy and the inter - period strategy recommend going long on the near - term contracts and short on the far - term contracts for IH, IF, IC, and IM. Different arbitrage and timing strategies of stock index futures have different performances last week [3][4]. - For treasury bond futures, the inter - period strategy maintains the previous view, suggesting that short - hedging positions of treasury bond futures start to arrange the roll - over in advance. The multi - factor timing strategy signal is bullish, the inter - variety arbitrage strategy signal of TS - T is neutral and T - TL is bearish, and the current credit bond duration rotation plus hedging strategy holds the 3 - 5 - year index and conducts treasury bond futures hedging [56]. - In the commodity market, various style factors of commodities perform differently. The term structure and basis factors rebound slightly, the warehouse receipt factor falls, and the volume - price and value factors rise more. The CTA strategy may fluctuate in the short - term, but the long - term prospects of the CTA's volume - price trend and spot - futures structure factors are promising [76]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures Quantitative Strategy Tracking 3.1.1 Stock Index Futures Market Review - The market shows an upward trend. Banks and food and beverage contribute to the gains of the SSE 50 Index, banks and power equipment contribute to the gains of the CSI 300 Index, national defense and military industry and computer contribute to the gains of the CSI 500 Index, and power equipment and national defense and military industry contribute to the gains of the CSI 1000 Index [3]. - The trading volume of each variety increases month - on - month. The basis of IF and IH strengthens, while that of IC and IM weakens, with IC and IM maintaining a deep discount [4]. 3.1.2 Stock Index Futures Basis Strategy Recommendation - IH and IF are prone to provide trading opportunities of going long on the near - term contracts and short on the far - term contracts during the ex - dividend season. IC and IM maintain a discount due to the dominant roll - over of neutral strategies. Both the roll - over strategy and the inter - period strategy recommend going long on the near - term contracts and short on the far - term contracts [4]. 3.1.3 Stock Index Futures Arbitrage Strategy Tracking - In the inter - period arbitrage strategy, the annualized basis rate, cash - and - carry, and momentum strategies gain 1.1%, 1.0%, and 0.8% respectively last week [5]. - The inter - variety arbitrage timing strategy's signal turns to going long on small - cap and short on large - cap, and the synthetic strategy has a drawdown of 0.1% last week. The latest signal recommends a 100% position to go long on IC and short on IF, and a 100% position to go long on IM and short on IF [6]. - The inter - variety arbitrage cross - section strategy gains 0.04% last week [7]. 3.1.4 Stock Index Futures Timing Strategy Tracking - The daily timing strategy's different models have different performances last week. The single - factor equal - weighted, OLS, and XGB models lose 1.5%, 1.3%, and gain 1.7% respectively. The latest signal of the OLS model is bearish on each index, and the XGB model is bullish on the CSI 500/CSI 1000 and bearish on the SSE 50/CSI 300 [8]. 3.2 Treasury Bond Futures Quantitative Strategy 3.2.1 This Week's Strategy Focus - In terms of basis and inter - period, the inter - period strategy maintains the previous view, suggesting that short - hedging positions of treasury bond futures start to arrange the roll - over in advance. - In the futures timing strategy, the net value of the multi - factor timing strategy fluctuates this week, and the signal is bullish. - In the futures inter - variety arbitrage strategy, the latest signal of the TS - T strategy is neutral, and the T - TL strategy is bearish. - In the credit bond neutral strategy, the hedging pressure index of treasury bond futures based on far - term contracts rebounds, and the current credit bond duration rotation plus hedging strategy holds the 3 - 5 - year index and conducts treasury bond futures hedging [56]. 3.2.2 Key Points of Treasury Bond Futures Basis and Inter - Period Spread - The inter - period spreads of different treasury bond futures varieties show obvious differentiation this week. TS rebounds significantly, TL weakens significantly, and T and TF fluctuate at a low level. The inter - period strategy maintains the previous view, suggesting that short - hedging positions of treasury bond futures start to arrange the roll - over in advance [57]. 3.3 Commodity CTA Factor and Tracking Strategy Performance 3.3.1 Commodity Factor Performance - Affected by the combination of macro policies and external events, the domestic commodity market shows mixed performance. Different style factors of commodities perform differently. The term structure and basis factors rebound slightly, the warehouse receipt factor falls, and the volume - price and value factors rise more. The CTA strategy may fluctuate in the short - term, but the long - term prospects of the CTA's volume - price trend and spot - futures structure factors are promising [76][79]. 3.3.2 Tracking Strategy Performance - Different tracking strategies have different performances. For example, the CWFT strategy has an annualized return of 9.8%, a Sharpe ratio of 1.64, and a Calmar ratio of 1.11, with a return of 0.34% last week and 1.08% this year [77].