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Dividend Analysis
Updated: Wednesday, July-30-2014
10:35pm 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.]
17,479,091.693 369,248.755 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.]
4,559,805.153 59,028.542 1.29
 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.) ]
2,628.539 63.429 2.41

 

  Dividend Amounts

Futures Total Dividends in Index Futures Period

[From July-31-2014 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) 8,872.32011686
  Nasdaq 100 1,146.81209154
  Dow Jones Ind. Avg. 0.15571588
Link Button to Individual Stock Dividends
S&P 500      
    SEP 2014 57,899.440      6.526     
    DEC 2014 146,766.479      16.542     
    MAR 2015 242,613.049      27.345     
    JUN 2015 337,951.856      38.091     
Nasdaq 100      
    SEP 2014 10,378.845      9.050     
    DEC 2014 25,454.092      22.196     
    MAR 2015 40,037.988      34.912     
    JUN 2015 55,352.481      48.266     
Dow Jones      
    SEP 2014 11.550      74.174     
    DEC 2014 27.604      177.269     
    MAR 2015 43.502      279.369     


 
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.
 

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