Home Page
Distant Months Contracts
IndexArb Values vs. Time
Stock Performance vs. Indexes
Capitalization Analysis
Index Component Weights
Dividend Analysis
Fair Value Decomposition
Yield Curve
Program Trading Calculator
Help
Terms of Usage/Disclaimer
Contact Us
Demo of Institutional Services
To Subscribe

     Log-In:      
Institutional Subscribers
Advanced Services
Dividend Analysis
Updated: Saturday, Feb-28-2015
8:30pm ET


Why are dividends important for determining index arbitrage conditions?
  • The fair value premium equals the interest earned on the spot index minus dividends earned by the stocks that comprise the index. The relevant time period is from the current date until the future's expiration.
  • As you might imagine, controversy exists about how to implement the above equation: some arbitrageurs measure dividends by yield; others (correctly in our opinion) by amount.
  • Both measures are presented here.

  Dividend Yields

 Index Aggregate Value of Index Components

[S&P and Nasdaq in millions.
Dow Jones in units.]
Aggregate Dividends

[Next four quarters]

[S&P and Nasdaq in millions.
Dow Jones in units.]
Dividend Yield (%)

[Aggregate Dividends divided by Aggregate Value]
Link Button to Individual Stock Dividend Yields
 S&P
[Floating Capitalization Weighted: stock price and per-share dividend are multiplied by the number of floating shares and then scaled to millions.]
18,652,472.470 392,171.230 2.10
 Nasdaq 100
[Modified Cap. Weighted: stock price and per-share dividend are multiplied by the Nasdaq weight factors and then scaled to millions.]
5,556,635.318 69,151.194 1.24
 Dow Jones
[Price Weighted: Sum of prices and dividends of stocks in the DJIA index.
(N.B. Divide stock price sum by the DJIA divisor to get the index value.) ]
2,823.550 67.844 2.40

 

  Dividend Amounts

Futures Total Dividends in Index Futures Period

[From Mar-02-2015 to
each future's expiration]

[S&P and Nasdaq 100 dividends are cap. weighted and in millions;
Dow Jones dividends are unweighted and in units.]
Divisor Adjusted Dividends

Total Dividends in Index Futures Period divided by the index divisor.

 Index Divisors:
  S&P 500 (Derived) 8,863.13731069
  Nasdaq 100 1,251.30561787
  Dow Jones Ind. Avg. 0.15571588
Link Button to Individual Stock Dividends
S&P 500      
    MAR 2015 19,084.409      2.153     
    JUN 2015 114,075.014      12.871     
    SEP 2015 210,453.765      23.745     
    DEC 2015 308,818.201      34.843     
Nasdaq 100      
    MAR 2015 1,201.671      0.960     
    JUN 2015 18,177.586      14.527     
    SEP 2015 35,034.406      27.998     
Dow Jones      
    MAR 2015 2.785      17.885     
    JUN 2015 19.128      122.842     
    SEP 2015 35.632      228.827     


 
Notes to the Calculations
  • Internal values have a precision of at least twelve decimal places. Displayed values, however, are rounded to three decimal places.
  • Therefore, if you divide the rounded amounts in the above two tables, you may get slightly different values.
    [For example, division of the rounded values for Total Dividends in Index Futures Period by the appropriate index divisor to obtain the Divisor Adjusted Dividends may produce slightly different values.] The correct values are those displayed.
 

No portion of this page or web site may be copied, retransmitted, or redistributed in any manner for any commercial use. You may use the site and its information to help in formulating your personal investment decisions; doing so signifies that you accept our
Terms of Usage and Disclaimer.
All pages, content, images, and design Copyright 2000-2015 Ergo Inc. All Rights Reserved Worldwide.