The table below lists the weightings of S&P 500 companies for the past seven years. The components with largest weightings on 3/31/2018 were Apple (3.78%), Microsoft (3.12%), Amazon.com (2.59%) & Berkshire Hathaway (1.71%). If a company was not part of the index during a certain year, the weight is blank. Check the details of the index constituent changes from here.
Note: Unfortunately, we are not allowed to publicly publish the constituent weights anymore. However, the datasets provided by Siblis Research are still available and updated quarterly.
Need more detailed data for a longer period? Purchase the exact monthly/quarterly weightings (monthly since 12/31/2004) of the current and past S&P 500 companies since 1979. Full refund guaranteed if you are not fully satisfied with the data for any reason. Check a sample file from here.
For key historical data of the index companies, purchase the S&P 500 Researcher Dataset provided by Siblis Research which includes quarterly earnings, share prices, outstanding shares, market caps, total returns & component weights for all current & past S&P 500 companies since 3/31/1979, including component changes since 1963. Examine what the dataset looks like.
How the component weights are assigned?
S&P 500 index is free-float market capitalization weighted. So what does this mean? Let’s first define capitalization weighted index. This means that companies with higher market value have a larger weight in the index. So the changes in the stock prices of these components have a larger effect to the index value than price changes of less valuable companies.
Free-float weighted means that instead of full market cap, only the public float of the company is considered when calculating its weight. Not all the shares of a company can be traded freely but some stocks might be under restrictions from SEC. S&P Dow Jones is assigning IWF (Investable Weight Factor) for all components part of its US indexes based on the component’s float. Read more about public float of US corporations and IWF methodology of S&P Dow Jones from here.
Let’s take Apple as an example. Apple does not have any restricted stocks so it’s free float is the same as its market cap. This means that the firms IWF is 1. Apple’s market cap in Dec 31st 2016 was $586,859.3 million. When the float adjusted market caps of all the companies part of S&P 500 are summed together, the total adjusted index value was around $18,000,221 million during the same day. So at the end of December, Apple’s weight is $586,859.3 divided by $18,000,221 that equals 3.26%.
Biggest changes in the weights during between Jan 2015 and Jan 2016
During the last year, the weight of Microsoft increased 0.5%. The company’s market cap has been rising while Apple’s values has dropped below $600 billion. Alphabet’s both share classes have been rising rapidly in value. One of the biggest surprises of the year was Amazon.com that has become the 9th largest index component. Also Facebook’s weighting has exceeded 1%. In Jan 2016 the smallest constituent was News Corp’s Class B (NWS) with impact of 0.008%.
What is the effect of one component to the index value?
If you know the weight of an index component, it is very simple to calculate its effect to the overall index value. If the weight of a company is 1.00% of the index and the company’s stock price increases by 5%, the index price will increase 1% * 5% = 0.05%. The same calculation works if the price decreases, -5% dip in price would mean that the index value will drop 0.05%. Of course in real life the prices of all the components keep changing at the same.
Based on the new rules for S&P Dow Jones’ US Indices, it is now possible for a company to have multiple share classes part of S&P 500. That is why the amount of components in the index is larger than 500. But how the weightings of the different stock lines are calculated?
Let’s take Google (now known as Alphabet) as an example. In April 3rd 2014, Google split its A-class stock into two classes, A and C. S&P Dow Jones first announced that new C Class will replace the old component but later reverted its previous announcement and declared that both classes will be included to S&P 500.
In Dec 31st 2015, GOOGL (A class) had around 265.11 million freely traded shares outstanding. GOOGL’s closing price was $778.01. GOOG (C Class) had 345.50 million freely traded shares outstanding and closed at $758.88. When calculating adjusted market caps and dividing them with the total index value, you will get the weights 1.15% and 1.46%. In Dec 2013 (before the split), the weight of A Class share was around 1.80%.
The change to float adjusted methodology
The weight of S&P 500 have not always been float adjusted. Before 2005, there were not weight factors and the index was pure capitalization weighted. But after receiving a lot feedback from fund managers and other institutional investors, S&P Dow Jones decided to change the index rules. The transition happened in two steps during 2005. During the first transition period, only half of the effect of weight factors was considered. For example, if a company had an IWF of 0.80, it was converted to 0.90. After the transition period ended in September 16th, weight factors were fully implemented.
Changes in sector weightings
Since May 2008, Information Technology has been the largest sector of the index. The global financial crisis of 2008 dropped Financials sectors from 1st place to 3rd largest sector. The financial companies quickly recovered part of their value and rose to 2nd biggest sector but has not been able to overtake IT. Download raw data for sector weights from here.
S&P 500 Equal Weight Index (Ticker: SPW)
There exists also another version of S&P 500 index where all companies have the same fixed weight, 0.2%. The components of this index are the same as with the float adjusted index. The smaller components have a much larger influence to the index value on the equal weight index (EWI).
EWI was launched on January 8th 2003. Since 2010, the returns from EWI have been larger than from the main S&P 500 but also volatility has been bigger. Especially during 2013, investors generated considerable bigger profit from equal weighted index.
The largest sector of the index is Financials (17.8%), Consumer Discretionary (16.7%) and Information Technology (14%). The smaller sector is Telecom Services with weight only 1.0%.