SP500 {PCRA}

SP500

Description

Year-end data on the S&P 500®, Nominal GDP and Consumer Prices from 1925 to the most recent year-end for which final data is available.

Usage

data(SP500)

Format

A data frame with observations on the S&P 500® from 1925 to the most recent year end for which final data is available:

• Year: type 'num'.

• SP500PriceHigh: type 'num'. Highest price level achieved by the S&P 500 during the calendar year.

• SP500PriceLow: type 'num'. Lowest price level achieved by the S&P 500 during the calendar year.

• SP500PriceClose: type 'num'. Year-end (12/31) price of the S&P 500.

• SP500EpsAll4Q: type 'num'. As-Reported Earnings per share for the S&P 500 for the entire calendar year.

• SP500EpsBest3Q: type 'num'. 4/3 x Sum of the three highest quarterly earnings per share for the S&P 500 during the calendar year.

• SP500EpsBest2Q: type 'num'. 2 x Sum of the two highest quarterly earnings per share for the S&P 500 during the calendar year.

• SP500EpsBest1Q: type 'num'. 4 x the highest earnings per share in a quarter for the S&P 500 during the calendar year.

• SP500RevenuePS: type 'num'. Annual Revenues per share for the S&P 500 during the calendar year.

• SP500BookValuePS: type 'num'. Year-end (12/31) Book Value (or Shareholders' Equity) per share for the S&P 500.

• SP500DPS: type 'num'. Dividends per share for the S&P 500 during the calendar year.

• SP500OperatingEPS: type 'num'. Operating Earnings per share for the S&P 500 for the calendar year.

• SP500NomRet: type 'num'. Nominal total return including both change in price and dividends and not adjusted for inflation for the S&P 500 for the current calendar year.

• SP500Nom1YrFwdRet: type 'num'. Nominal total return including both change in price and dividends and not adjusted for inflation for the S&P 500 for the FOLLOWING calendar year. This is the same as SP500NomRet with a one year lag. It is included primarily to make it easy to build forecasting models without any need to apply a lag operator to SP500NomRet.

• CPIAUCNS: type 'num'. Consumer Price Index for All Urban Consumers: All Items in U.S. City Average, as of year end.

• GDPA: type 'num'. Nominal GDP at an annual frequency.

Details

This dataset was constructed by combining information in various datasets, and is updated annually using data published in https://www.spglobal.com/spdji/en/documents/additional-material/sp-500-eps-est.xlsx. Final year-end numbers Revenues per share from 1992 to 199 are taken from SP500from1967to2007, and prior to this are estimated from the per-share revenues of the S&P 425 Industrials® and S&P Industrials® indices, using the procedure described in Philips, Thomas and Ural, Cenk, "Uncloaking Campbell and Shiller’s CAPE: A Comprehensive Guide to its Construction and Use", Journal of Portfolio Management, Vol 43, No. 1, Fall 2016, pp. 109-125.

Source

S&P Dow Jones Indices and Federal Reserve Bank of St. Louis. S&P®, S&P 400 Industrials®, S&P 425 Industrials®, S&P Industrials®and S&P 500® are registered trademarks of Standard & Poor’s Financial Services LLC, and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. © 2023 S&P Dow Jones Indices LLC, #' its affiliates and/or its licensors. All rights reserved. Redistribution of the data is not permitted, and use of the data in derivative works is not permitted without the written permission of S&P Dow Jones Indices LLC. Data for the S&P 500® is updated using the QUARTERLY DATA tab of https://www.spglobal.com/spdji/en/documents/additional-material/sp-500-eps-est.xlsx. Final year-end numbers are typically reported in April or May of the following year. CPIAUCNS is obtained from the Federal Reserve Bank of St. Louis' FRED database at https://fred.stlouisfed.org/series/CPIAUCNS. GDPA is obtained from the Federal Reserve Bank of St. Louis' FRED database at https://fred.stlouisfed.org/series/GDPA.

References

Chapter 13 (Expected Returns) of Martin, Philips, Scherer, Stoyanov and Li, Portfolio Construction and Risk Analysis, Springer, 2024.

Examples

 
data(SP500)
names(SP500)
head(SP500, 5)
tail(SP500, 5)