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Q2 2019 Dividend Futures Vs. S&P 500 Dividends

Published Wed, 10 Jul 2019 07:26:33 -0400 on Seeking Alpha

According to Standard & Poor's, the S&P 500 (Index: SPX) paid out the equivalent of $14.24 in cash dividends per share during the second quarter of 2019. Since we recently featured a chart showing what dividend futures were predicting for the quarter, we thought it might be interesting to update it with S&P's official total for the quarter.

At first glance, it looks like there is a pretty large discrepancy between what the CME Group's and IndexArb's quarterly dividend futures for 2019-Q2 were forecasting, but this difference is mainly attributable to what we call "term mismatch".
The term mismatch discrepancy arises because of the different periods of time covered by quarterly dividend futures contracts and the calendar quarter. S&P reports the total dividends paid during each calendar quarter, which for 2019-Q2 covers all dividends paid by S&P 500 firms from Monday, April 1, 2019 through Sunday, June 30, 2019.
Meanwhile, quarterly dividend futures contracts cover the period from the end of the third Friday of the month ending the preceding calendar quarter through the third Friday of the month ending the current calendar quarter. For 2019-Q2, that period runs from Saturday, March 16, 2019 through June 21, 2019. The following calendar illustrates how the dividend futures periods in 2019 correspond with the calendar quarters.

Using IndexArb's final dividends data, we find that from April 1, 2019 through June 21, 2019, the index paid... Read more

Stock name Last trade   P/E Earnings/Share Dividend/Share Dividend yield
PROSHARES ULTRAPRO SHORT S&P 500 26.61   0.0 0.00 0.00 2.27
PROSHARES ULTRASHORT S&P 500 29.83   0.0 0.00 0.00 1.95
SPDR S&P 500 ETF 297.74   0.0 0.00 5.42 1.80


Older articles featuring Proshares Ultrapro Short S&p 500 (SPXU):
The Fed And The Yield Curve
The Inverted Yield Curve Is About To Revert
Beware The Yield Curve
Negative-Yielding Debt: Monetary Contagion Spreads
Conflicting Dividend Futures For The S&P 500
The Dollar, High-Yield Bond Market And S&P 500 Revenue Growth
The Recent Bond Yield And SPX Declines (And Now Bitcoin) Tend To Recur Year After Year
Two Yield Spreads Are Better Than One For Business Cycle Analysis
Yield Curve Inversion May Not Be A Done Deal
Market Update: A Lesson On The Yield Curve