- The report discusses the concept of index futures arbitrage, which includes forward and reverse arbitrage strategies. Forward arbitrage occurs when the spot price is undervalued and the futures price is overvalued, while reverse arbitrage happens when the spot price is overvalued and the futures price is undervalued. The theoretical basis is that futures and spot prices converge on the delivery date[43] - The formula for forward arbitrage return is: $$P={\frac{(F_{\mathrm{t}}-S_{\mathrm{t}})-(S_{\mathrm{t}}+F_{\mathrm{t}}M_{\mathrm{f}})(1+r_{\mathrm{f}})^{\frac{T-t}{360}}-S_{\mathrm{t}}C s-F_{\mathrm{t}}C f)}{S_{\mathrm{t}}+F_{\mathrm{t}}M_{\mathrm{f}}}}$$ In this formula: - \(F_t\) and \(S_t\) represent the futures and spot prices at time \(t\) - \(M_f\) is the margin ratio for futures - \(C_s\) and \(C_f\) are transaction costs for spot and futures respectively - \(r_f\) is the risk-free interest rate[43] - The formula for reverse arbitrage return is: $$P={\frac{(S_{t}-F_{t})-(S_{t}M l+F_{t}M_{f})(1+r_{f})^{\frac{T-t}{360}}-S_{t}C s-F_{t}C f-S_{t}r^{\frac{T-t}{l360}})}{S_{t}M l+F_{t}M_{f}}}$$ In this formula: - \(M_l\) is the margin ratio for short selling - \(r_l\) is the annualized interest rate for short selling[43] - The report evaluates the risks associated with arbitrage strategies, including margin call risk, basis non-convergence risk, dividend risk, tracking error risk, and liquidity risk[44] - Dividend prediction methodology is outlined, where historical dividend patterns are used to forecast future dividend points. For companies with stable dividends over three years, the average dividend rate is used. For companies with unstable dividends but consistent profitability, the previous year's dividend rate is applied. For companies with no profitability or significant changes, a zero dividend rate is assumed[45][48] - The formula for calculating the dividend impact on index points is: $$\text{Dividend Points} = \sum \left( \text{Per Share Dividend} \times \text{Index Closing Price} \times \text{Component Stock Weight} \right) / \text{Component Stock Closing Price}$$ Alternatively: $$\text{Dividend Points} = \sum \left( \text{Forecast Dividend Rate} \times \text{Index Closing Price} \times \text{Component Stock Weight} \right)$$[49]

1. Report Industry Investment Rating - No relevant content provided 2. Core View - The stock index futures market in May showed an overall upward trend but is shifting from strong to weak oscillations. The domestic economic data in May was divergent, and the overseas economic situation was complex. Although the market has some short - term upward momentum, it faces significant domestic and foreign pressures in the medium term. Investors should closely monitor economic data and policy dynamics, adjust investment strategies flexibly, control risks effectively, and seize structural market opportunities [23][24] 3. Summary by Relevant Catalogs 3.1 Market Review - Last week, IC2506 closed at 5,627.8 points, up 130.8 points or 2.38% from the previous month. IM2506 closed at 5,966.0 points, up 164.6 points or 2.84% from the previous month [5] 3.2 Economic Indicator Analysis - In May, the manufacturing PMI was 49.5%, up 0.5 percentage points from the previous month, indicating an improvement in the manufacturing's prosperity level [6] - In May, the non - manufacturing business activity index was 50.3%, down 0.1 percentage points from the previous month. It remained above the critical point, and the non - manufacturing sector continued to expand [8] - In May, the composite PMI output index was 50.4%, up 0.2 percentage points from the previous month, showing that the overall production and business activities of Chinese enterprises continued to expand [10] 3.3 Valuation Analysis - As of June 2, the PE of the CSI 500 Index was 28.65 times, the percentile was 65.96%, and the PB was 1.77 times. The PE of the CSI 1000 Index was 39.26 times, the percentile was 57.06%, and the PB was 2.05 times [14] 3.4 Other Data - The current "total market value/GDP" percentile in historical data is 58.18%, and in the last 10 - year data, it is 48.39% [21]