S&P U.S. Indices Methodology
Index Objective
The S&P U.S. Indices are a family of equity indices designed to measure the market performance of U.S. domiciled stocks trading on U.S. exchanges. The family is composed of a wide range of indices based on size, sector, and style. The indices are weighted by float-adjusted market capitalization (FMC). In addition, equal weighted and capped market capitalization weighted indices are also available as detailed below.
Highlights and Index Family
Float-Adjusted Market Capitalization Weighted Indices:
S&P Total Market Index. The index measures the performance of the broad U.S. market and includes all eligible U.S. common equities.
S&P 500. The index measures the performance of the large-cap segment of the U.S. market. Considered to be a proxy of the U.S. equity market, the index is composed of 500 constituent companies.
S&P MidCap 400. The index measures the performance of the mid-cap segment of the U.S. market. The index is composed of 400 constituent companies.
S&P SmallCap 600. The index measures the performance of the small-cap segment of the U.S. market. The index is composed of 600 constituent companies.
S&P Composite Indices. The indices include the S&P Composite 1500, S&P 900, and S&P 1000. The S&P Composite 1500 is a combination of the S&P 500, S&P MidCap 400, and S&P SmallCap 600 and measures the performance of all three market size segments. The S&P 900 is a combination of the S&P 500 and S&P MidCap 400 and measures the performance of the mid- and large-cap market size segments. The S&P 1000 is a combination of the S&P MidCap 400 and S&P SmallCap 600 and measures the performance of the mid- and small-cap market size segments.
S&P Completion Index. The index is a sub-index of the S&P Total Market Index and measures the performance of all constituents in the S&P Total Market Index that are not also constituents of the S&P 500. The Index is constituted at the company level, not at the share line level. If one company listing is in the S&P 500, all other company listings are excluded from the S&P Completion Index.
S&P 500 Top 10 Index. The index measures the performance of 10 of the largest, by FMC, companies in the S&P 500.
S&P 500 Top 20 Index. The index measures the performance of 20 of the largest, by FMC, companies in the S&P 500.
S&P 500 Top 50. The index measures the performance of 50 of the largest, by FMC, companies in the S&P 500.
S&P 100. The index measures the performance of 100 companies selected from the S&P 500. Generally, the largest companies in the S&P 500 that have listed options are selected for index inclusion. Sector balance is also considered in the selection of companies for the S&P 100.
See Appendix B for additional details on the following indices:
S&P Composite 1500 / S&P TMI (Spliced as of EOD Dec-18-2015) Index. The index is a replica of the S&P Total Market Index and follows the S&P Total Market Index methodology with the exception that for index history prior to December 18, 2015, the index was a replica of the S&P Composite 1500 and followed that index’s methodology.
S&P 500 Ex-Sector Indices. The indices measure the performance of all companies in the S&P 500, excluding those companies in one or more defined sector(s). Company classifications are based on the Global Industry Classification Standard (GICS®).
S&P 500 Ex-Financials, Real Estate, Utilities and Transportation Index. The index measures the performance of all companies in the S&P 500, excluding those belonging to the Financials sector, Real Estate sector, Utilities sector or Transportation industry group. Company classifications are based on GICS.
S&P 500 Communication Services & Information Technology Index. The index measures the performance of companies in the S&P 500 classified as part of the Communication Services and Information Technology sectors. Company classifications are based on GICS.
For more information on GICS, please refer to S&P Dow Jones Indices’ Global Industry Classification Standard (GICS) Methodology.
Equal Weight Indices:
S&P Equal Weight U.S. Indices. The indices include the S&P 500 Top 50 Equal Weight Index, S&P 100 Equal Weight Index, S&P 500 Equal Weight Index, S&P 500 Equal Weight Sector Indices, S&P MidCap 400 Equal Weight Index, S&P MidCap 400 Equal Weight Sector Indices, S&P SmallCap 600 Equal Weight Index, S&P SmallCap 600 Equal Weight Sector Indices, S&P Composite 1500 Equal Weight Index, and S&P Composite 1500 Equal Weight Sector Indices. Index composition for these indices is the same as that of their respective underlying index. Each company is equally weighted as of the respective rebalance reference date, rather than weighted by float-adjusted market capitalization. Unless otherwise noted in Index Construction, index constituents for the Equal Weight Sector Indices are drawn from their respective parent indices and selected for index inclusion based on their GICS classification.
Capped Market Capitalization Weighted Indices:
S&P Capped Market Capitalization Weighted U.S. Indices. The indices include the Select Sector Indices, S&P Select Sector Capped 20% Indices, S&P Select Sector Daily Capped 25/20 Indices, S&P Select Sector 15/60 Capped Indices, S&P 500 Capped 35/20 Indices, S&P MidCap 400 Capped Sector Indices, and S&P SmallCap 600 Capped Sector Indices. Index constituents are drawn from their respective underlying index (i.e., the S&P 500, S&P MidCap 400 or S&P SmallCap 600) and selected for index inclusion based on their GICS classification. Instead of weighting by float-adjusted market capitalization, the indices employ a capped market capitalization weighting scheme and specific capping methodology.
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