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.
