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: Sunday, Dec-21-2014
4:40am 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.]
18,312,376.843 385,603.128 2.11
 Nasdaq 100
[Modified Cap. Weighted: stock price and per-share dividend are multiplied by the Nasdaq weight factors and then scaled to millions.]
5,360,408.036 64,694.755 1.21
 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.) ]
2,772.490 66.824 2.41

 

  Dividend Amounts

Futures Total Dividends in Index Futures Period

[From Dec-22-2014 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) 8,843.78182827
  Nasdaq 100 1,251.91112953
  Dow Jones Ind. Avg. 0.15571588
Link Button to Individual Stock Dividends
S&P 500      
    MAR 2015 90,760.431      10.263     
    JUN 2015 186,006.884      21.033     
    SEP 2015 282,173.943      31.906     
    DEC 2015 380,469.492      43.021     
Nasdaq 100      
    MAR 2015 15,428.332      12.324     
    JUN 2015 31,486.388      25.151     
    SEP 2015 47,589.696      38.014     
Dow Jones      
    MAR 2015 15.834      101.683     
    JUN 2015 32.157      206.511     
    SEP 2015 48.671      312.560     


 
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 2000-2014 Ergo Inc. All Rights Reserved Worldwide.