IMPORTANT: changes to SP500, SP400, SP600 & SP1500 universes will be released today

Dear All,

S&P Dow Jones Indices (a “separate” division of S&P) will require licenses from anyone using or redistributing S&P universe beginning September 1. Since we are a redistributor the licensing costs are quite high. Therefore we will make these changes effective after the market close today:

  • The universes for the SP500, 400, 600 & 1500 will be renamed to clearly indicate they no longer come directly from S&P
  • The current and historical constituents will be sourced from monthly iShares ETF constituent data (end of the month)
  • No other universe should be affected

Updating the constituents monthly should only cause minor tracking errors and cause minimal differences in your simulations. Enclosed please find a spreadsheet with a weekly screen backtest comparing S&P’s SP500 and one sourced from monthly ETF data.

NOTE: You do not have to change anything in your systems. You will simply see a name change where you use the universes, like this:

S&P500 is now “iShares S&P500 LargeCap (IVV)”
S&P400 is now “iShares S&P400 MidCap (IJH)”
S&P600 is now “iShares S&P600 SmallCap (IJR)”
S&P1500 is now “iShares S&P1500 CompositeCap (IVV+IJH+IJR)”

Very sorry for the inconvenience. Let us know of questions or concerns.

Thanks


SP500 constituent comparison.xlsx (19.2 KB)

Thank you for letting us know.
Where do the historic holdings of these ETFs come from?

iShares

Thank you for the heads up.
Is there any chance of adding current and historical constituent data for other ETFs, such as: USMV, VIG, DVY, etc.

What would you use it for ?

It’s a quite a project and we’ve not heard many requests for this.

Thanks

[quote]

Wut? This was brought up by P123 in another thread. The idea of ranking EFT holdings is done by many of us.

Here it is applied to USMV.
https://imarketsignals.com/2019/im-min-volatility-usmv-investor/


Marco, I am impressed with how well you have adapted to the S&P 500 and 1500 universes situation. Thanks.

I have some sims with where an actual Buy rule says Universe(SP1500).

Will I need to amend these? I see that the Universe definition in the reference has not been changed.


We’ll rename the name but leave the codes the same so you will not need to do anything. Thanks for pointing it out

How did you build a USMV universe?