Inferring Daily S&P 500 Dividend Yield from Price and Total Return Indexes

Summary

The document describes a way to estimate daily S&P 500 dividends when a direct daily dividend series is unavailable. Compare the price index return with the total return index return: their difference approximates the dividend contribution for that day. Given the index level, that return difference can be converted into dividend points. The response illustrates this calculation using one day of index data and derives an implied dividend amount.

To form a dividend-yield equivalent, calculate the daily dividend contribution, sum it over a rolling year, and divide by the index level. The method is an inference from index series, not a direct observation of dividend payments. Its formulas are described as approximate, and the response does not discuss index-provider conventions, timing, reinvestment details, or data adjustments that could affect the estimate. Results should therefore be understood as an index-implied measure rather than necessarily a precise record of cash distributions.

Key ideas

• The gap between daily total-return and price-index returns approximates the dividend contribution.
• The return difference can be converted to dividend points using the index level.
• A rolling one-year sum of inferred dividends divided by the index level gives a yield equivalent.
• The approach infers dividends from index behavior rather than using a direct daily dividend series.
• Index conventions and adjustments may affect the estimate, and the calculation is presented as approximate.

Tags

# Dividend Yields of the S&P500


# Dividend Yields of the S&P500












Straightforward question;

Is it possible to find dividend yields of the S&P 500 on a daily basis (or at least the dividends of the S&P 500)?

I have been looking everywhere and can't find anything on daily frequency. I am almost convinced that they do not come in daily data; but one cannot always be so sure.

## Answer by Helin (score 2, accepted)

https://quant.stackexchange.com/a/36444

I imagine the easiest way to do this is to infer from the price index and the total return index.

Recall that the daily total return is (roughly) $$ TR = \frac{P_{t-1} + d_t}{P_t} - 1, $$ while the price index is simply $$ PR = \frac{P_{t-1}}{P_t} - 1,$$ where $P_t$ is the index level at time $t$ and $d_t$ is the dividend (in index points) at time $t$.

As an example, S&P 500 returned -0.168675% on 10/12/2017, while the S&P 500 total return index returned -0.160054%. The difference of 0.008621% reflects the impact of dividends. Given the index level of 2555.23999, this implies a dividend (in points) of 0.02200424 points.

To translate this into a dividend yield equivalent, you would need to calculate this daily, take the 1-year moving sum and divide by the index level.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.