The underlying idea of converting taxable dividends into non-taxable capital gains (in Switzerland at least) has merit. As pointed out there are potential issues with being classified as a professional trader in Switzerland. However, leaving that point aside there’s a more fundamental reason why this isn’t likely to be a good idea in relation to Swiss shares. And that reason is that the futures will be priced assuming approximately 65% of the gross dividend not 100%. i.e. the capital gain baked into the future will be close to 65% of the dividend amounts not 100%.
To explain. Finance 101 is that the price of a future is the current stock price - finance costs + expected dividends.
In the real world futures are priced like this but you use real world financial institution costs and dividends. i.e. a bank’s actual finance costs + some sort of margin and the actual NET dividends the bank will receive. Due to the approach of the Swiss tax authorities, financial institutions participating in providing liquidity into futures markets for Swiss Shares generally expect to receive only 65% of dividends (with no ability to reclaim any of that back).
For other markets this is a good idea in theory. In a market where the withholding tax rate is say 15% higher rate tax payers would be better off getting 85 cents in the dollar as capital gains than 100 cents in the dollar as taxable income. However, to get access to this you need a derivative. A future is the obvious choice but unfortunately I think the professional trader consequences loom too large. A product that should exist is longer term derivatives. I don’t, however, think any such product exists in Switzerland at least not a cost that would make sense. If you find longer term derivatives at low cost in other markets let me know.