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Market Breadth Primer: S&P 100 Historical Constituents Change History

By Lawrence  

Basket of river stonesS&P 100 (OEX) is a subset of the S&P 500 Index containing the top 100 most valuable companies within the S&P 500. This index has long been used for the construction of financial derivatives like index options for decades. The most well known symbol for S&P 100, OEX, is in fact the ticker symbol for the index options listed at Chicago Board Options Exchange.

Special Challenge With Component Changes

Due to the nature of the selection process of the S&P 100 components, it is obviously designed to have as few component changes as possible. Yet, the dotcom bubble happened. And then the financial crisis happened. These mega swings in the stock market created several interesting issues with S&P 100.

Within the past decade, the component changes varies significantly every year.

In year 2008, more than 10% of components are changed.

In year 2010, there was only one single switch of symbol. In this particular case, it was Berkshire Hathaway took over Burlington and assumed its position in the index.

From 2006 to end of 2013, only 60% of the components stayed within the index all the way. Hence, S&P 100 is not really a stable set of companies as many people perceived.

Another odd issue with S&P 100 is that its component changes often happen during the first 2 quarters of the year, rendering a yearly updated component list mismatched by several issues just a few months going into the year.

Using a yearly component list approach still works but the custom market breadth data generated will often contain 2% to 3% error relative to the ones generated from an exact component list.

Not The Same As Nasdaq 100

The market capitalization concentration issue with Nasdaq-100 does not impact S&P 100 as much due to the fact that S&P 100 is designed to represent a diversified group of industries. Thus it is not possible to just pick the top ranking components in terms of market cap to construct useful custom market breadth data. At times, certain industries within the index would lead while the stocks from other sectors will lag behind. Choosing blindly a subset of the components based on market cap will lead to completely ineffective custom breadth data when those selected components are lagging.

On the other hand, S&P 100 Index exhibits more than 85% correlation with the S&P 500 Index movements. That makes the whole basket of S&P 100 components a great choice for constructing more responsive market breadth data for use with S&P 500. Thus, for any reason, if you cannot track all of S&P 500 components in real-time, you can always use just the S&P 100 components for the construction of proxy breadth data. The result will still work very well.

Snapshots of Historical Components

The yearly snapshots of the component list is available at the Historical Data Bank.

Similar to the other data files, the archive is available for free to all members.

You can purchase the data files individually from the data bank as well.

 

Resources

S&P 100 at Wikipedia.org

iShares S&P 100 ETF main page

CBOE OEX microsite

CBOE OEX Index Components



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