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S&P Spread Indices

Published in Strategy Indices

S&P’s spread-based indexes measure the spread in performance or return as a way to hedge against downturns in stock portfolios.  You can hedge positions in many markets or offset risk using S&P futures and equity dollar indexes. Some of these indexes include:

  • S&P 500 Futures 2x Inverse ER – seeks to provide two-times the inverse return of the S&P 500 Futures Index.
  • S&P 500 Futures 2x Leveraged ER – seeks to provide two-times the return of the S&P 500 Futures Index.
  • S&P 500 Futures Index ER – constructed from the front-month E-mini futures contract on the S&P 500. It is part of the S&P Factor Series, which measures the inherent risk premium between asset classes and financial markets.
  • S&P 500 Non-Us Dollar Index ER – measures the spread of the return of U.S. stocks over the return of the U.S. Dollar Index. Index composition is based on the S&P 500 Futures Excess Return Index and the S&P U.S. Dollar Futures Excess Return Index.
  • S&P Crude Oil – Equity Spread Index ER – measures the spread of the return of Crude Oil over the return of U.S. stocks. Constituents include the S&P GSCI® Crude Oil and the S&P 500® Futures Excess Return Indices.
  • S&P Gold – Equity Spread Index ER – measures the spread of the return of gold over the return of U.S. stocks. Constituents include the S&P GSCI® Gold and the S&P 500® Futures Excess Return Indices.
  • S&P US Dollar Futures Index ER – designed to measure the performance of a hypothetical portfolio holding an underlying futures contract on the U.S. dollar.
  • S&P US Equity Risk Premium Index ER – measures the spread of returns of U.S. stocks over long term government bonds. Constituents include the S&P 500® Futures Excess Return Index and the S&P U.S. Treasury Bond Futures Excess Return Index.
  • S&P US Treasury Bond Futures Index ER – constructed from the front-month futures contract on the U.S. Treasury Bond. It is part of the S&P Factor Series, which measures the inherent risk premium between asset classes and financial markets.

Key Features and Coverage on RIMES

For this data source, RIMES hosts 9 indexes (described above).

Some of the data items available include:

  • Branding, Country Code, Description, Divisor Factor in US Dollars, Database Domain Code, Excess Return in US Dollars, Factor, Gross Index in US Dollars, Index Family, Index Type, Last Price Date, Market Capitalization in US Dollars, Number of Constituents, Next Day Divisor in US Dollars, Next Day Gross Index Market Capitalization in US Dollars, Next Day Market Capitalization in US Dollars, Next Day Number of Constituents, Sector Description, Weight Type, etc.

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