- The report introduces the dividend forecast for stock index futures contracts during their duration, predicting dividend points for CSI 500, CSI 300, SSE 50, and CSI 1000 indices as 73.53, 68.56, 52.96, and 65.86 respectively[9][11][16] - The dividend-adjusted annualized basis calculation is explained as: Annualized Basis = (Actual Basis + (Expected) Dividend Points) / Index Price × 360 / Remaining Days of Contract[20] - CSI 500 futures contract IC2507 predicts dividend points of 20.73, IC2509 predicts 30.13, and IC2512 predicts 30.13, with a dividend ratio of 0.53% during the next season contract duration[9] - CSI 300 futures contract IF2507 predicts dividend points of 34.94, IF2509 predicts 48.09, and IF2512 predicts 48.4, with a dividend ratio of 1.26% during the next season contract duration[11] - SSE 50 futures contract IH2507 predicts dividend points of 40.11, IH2509 predicts 44.54, and IH2512 predicts 44.97, with a dividend ratio of 1.68% during the next season contract duration[16] - CSI 1000 futures contract IM2507 predicts dividend points of 18.42, IM2509 predicts 22.63, and IM2512 predicts 22.73, with a dividend ratio of 0.38% during the next season contract duration[18] - CSI 500 futures contract IC's dividend-adjusted annualized basis rose to -8.70% from a weekly low of -9.76%[21] - CSI 300 futures contract IF's dividend-adjusted annualized basis fell to -2.54% from a weekly high of -1.77%[27] - SSE 50 futures contract IH's dividend-adjusted annualized basis rose to 0.91% from a weekly low of 0.40%[33] - CSI 1000 futures contract IM's dividend-adjusted annualized basis rose to -12.34% from a weekly low of -14.89%[40] - The continuous hedging strategy and minimum basis strategy are introduced, with parameters including holding corresponding total return indices for the spot side and shorting futures contracts with equal nominal principal for the hedging side[45][46][47] - CSI 500 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are -2.75%, -1.97%, and -0.95% respectively, with volatility of 3.89%, 4.78%, and 4.70%[48] - CSI 300 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are 0.60%, 0.88%, and 1.44% respectively, with volatility of 3.03%, 3.38%, and 3.17%[50][54] - SSE 50 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are 1.10%, 2.04%, and 1.76% respectively, with volatility of 3.15%, 3.58%, and 3.16%[55][58] - CSI 1000 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are -5.99%, -4.36%, and -3.68% respectively, with volatility of 4.74%, 5.78%, and 5.60%[59][60] - Cinda-VIX index reflects market volatility expectations, with 30-day VIX values for SSE 50, CSI 300, CSI 500, and CSI 1000 indices at 16.54, 17.01, 25.03, and 22.92 respectively[63][65] - Cinda-SKEW index captures implied volatility skew characteristics, with values for SSE 50, CSI 300, CSI 500, and CSI 1000 indices at 101.73, 106.09, 97.81, and 105.04 respectively[72][75]