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, Sept-20-2014
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.]
17,741,142.639 372,624.734 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.]
4,702,198.865 59,620.584 1.27
 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.) ]
2,690.730 64.409 2.39

 

  Dividend Amounts

Futures Total Dividends in Index Futures Period

[From Sept-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) 8,824.68296798
  Nasdaq 100 1,146.85259711
  Dow Jones Ind. Avg. 0.15571588
Link Button to Individual Stock Dividends
S&P 500      
    DEC 2014 88,037.799      9.976     
    MAR 2015 183,081.019      20.746     
    JUN 2015 277,726.162      31.472     
Nasdaq 100      
    DEC 2014 14,932.107      13.020     
    MAR 2015 29,372.864      25.612     
    JUN 2015 44,544.217      38.840     
Dow Jones      
    DEC 2014 16.034      102.967     
    MAR 2015 31.902      204.874     
    JUN 2015 48.061      308.644     


 
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.