S&P 500®

The Gauge of the U.S. Large-Cap Market

The S&P 500 is widely regarded as the best single gaugeof U.S. large-cap equities. The index includes 500 leading
companies spanning all sectors of the U.S. stock market.
It covers approximately 80% of the U.S. equity market
capitalization and over 50% of the global equity market.

Hard to Beat

Most Active U.S. Large-Cap Equity Funds Underperform the S&P 500
Active equity funds performance versus the benchmark
has historically worsened over longer time horizons,
highlighting the difficulty of outperforming consistently.

Since the first publication of the S&P Indices Versus
Active Funds (SPIVA®) U.S. Scorecard in 2002, S&P Dow
Jones Indices has been the de facto scorekeeper of theongoing active versus passive debate, reporting on the
results semiannually.

Over a 20-year period ending on Dec. 31, 2023, 93% of
U.S. Large-Cap funds underperformed the 500.

Most large-cap active managers underperformed the
S&P 500 (the 500TM) for the 14th consecutive year in arow. 60% of active large-cap funds underperformed
the 500 in 2023.

Percentage of Active Domestic U.S. Large-Cap Equity Funds Underperforming the S&P 500
By Calendar Year (Based on Absolute Returns)
100% Underperforming

90
80
70
60

68

65

75

87

82
69

68
56

49

50
40

66

63

48

45

85
65

66

55

63

71

64

60

51

60

30
20

23

21

22

20

20

20

20

19

20

18

20

20

20

17

16
20

15
20

14
20

13
20

11

12
20

20

10
20

09
20

08
20

07
20

20

06

05
20

04

03

20

20

02

20

20

01

10
0

Source: S&P Dow Jones Indices LLC, CRSP. Data as of Dec. 31, 2023.
Past performance is no guarantee of future results. Chart is provided for illustrative purposes.

Past Performance Is No Guarantee of Future Results
As a companion to our SPIVA scorecards, S&P DJI
publishes the Persistence Scorecard, which looks atwhether top active managers can retain their position
relative to their peers.

The chart below investigates the track record of 164
top quartile, actively managed large-cap funds as ofDecember 2021. The persistence of these funds was muchworse than random. Two years later, not a single fundmanaged to remain in the top quartile consecutively.

Manager Outperformance is Fleeting

Remaining in Quartile (%)

Cumulative Chance of Picking a Heart in a Deck of Cards

Active Funds That Stay in the Top Quartile

30
25
20

25.00
20.12

15
10

6.25

5

0.00

0
December 2022

December 2023

Source: S&P Dow Jones Indices LLC, CRSP. Data as of Dec. 31, 2023. From “U.S. Persistence Scorecard”, figures are taken from Report 1a : Performance
Persistence of Domestic Equity Funds over Three Consecutive 12-Month Periods. Past performance is no guarantee of future results. Chart is provided forillustrative purposes. For the blue bar illustration, in a full deck of 52 cards, there are typically four suits, hearts, clubs, diamonds and spades. Any suit has a
13/52 or 1/4 probability of being picked. The odds of a top-quartile fund randomly staying in the top quartile over the next two years are 25% * 25% = 6.25%,
or 1/16.

Relevance of the S&P 500
The 500 represents approximately 50% of the
global equity market capitalization.

Global Equity Market Capitalization
Emerging Markets
Ex-China, 8%

Many of the largest exchange-traded funds (ETFs)
and mutual funds in the world track the 500. The
index supports a large and robust trading ecosystemthat includes index futures and options.
With more than 65 years of live index history, the 500 has along and proud history. Investors analyze the 500’s returns
and constituents to understand how the U.S. equity market
has evolved and reacted to a wide range of historical events.

China, 3%

Developed
Markets
Ex-U.S., 30%

S&P 500, 51%

Rest of U.S.
Equity, 8%

Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2023.
Chart is based on index market capitalization of the S&P 500,
S&P Global BMI and its component indices. Past performance is no
guarantee of future results. Chart is provided for illustrative purposes.

Constructing the S&P 500
The 500 is designed to measure the performance of index-eligible stocks listed on selected U.S. exchanges. It is weighted byfloat-adjusted market capitalization and includes liquidity and tradability criteria in the constituent selection process.
Index Committee Oversight
Constituentsand Weighting
Method500

Companies

Eligibility Criteria

Market Cap
Qualifies as"Large-Cap*"

Achieves
SectorBalance

GICS® Sector Classification

Information
Technology

HealthCare

Financials

Consumer
Discretionary

Communication
Services

Industrials

Consumer
Staples

EnergyUtilities

Real Estate

Materials

SufficientLiquidity

Sufficient
Public Float

Float Market
Cap Weighted
Financial Viability/Earnings*S&P Composite 1500® market-cap guidelines are reviewed by the Index Committee on an as needed basis. For further information and thecomplete details on the eligibility criteria please see the U.S. Index Methodology and to learn about the governance process of S&P DJI please visit:https://www.spglobal.com/spdji/en/governance/.

S&P 500 Trading Ecosystem
The 500 is at the center of a large trading “ecosystem”
spanning different product types and related indices. Tradingin the 500 supports a network of different product types(LHS chart; futures, options and ETF options) and exposures(RHS chart; sectors, VIX®-based strategies and factors).

The ecosystem of products directly linked to the 500
generated USD 224 trillion in index equivalent trading
volume in 2023, which is broken down in the graphic below.
Our research shows that users of index-based products may
wish to consider the volumes associated to an index as animportant factor in choosing a product, due to historicallyhigher liquidity supporting tighter spreads in products anda closer tracking to the benchmark.

1-Year Index Equivalent Trading Volumes in USD Billions

Options

Futures

Sectors

VIX

3,505

1,286

88,668102,244

ETP
Options

Products
Derived fromthe S&P 500

Factors

20,940

Products
Directly Linked
to the S&P 500

Unleveraged
ETPs

Leveraged
ETPs

Sustainability

Dividends

10,169

1,840

85

244

44

Sources: S&P Dow Jones Indices LLC, Futures Industry Association (FIA), Bloomberg, Options Clearing Corporation (OCC), Cboe. Data as of Dec. 31, 2023,
unless otherwise stated. Past performance is no guarantee of future results. Chart is provided for illustrative purposes. For options, a delta adjustment isapplied, which is a monthly volumes-weighted average delta provided by Cboe. Updated from “The Liquidity Landscape: Trading Linked to S&P DJI's
Indices,” S&P Dow Jones Indices (September 2024). For further details see “Mapping the S&P 500 Trading Ecosystem”. Figures in billions of U.S. dollars ofindex equivalent trading volumes. Data sources and groupings have changed since the original publication of the paper.

Index Characteristics of the S&P 500
Bull and Bear Markets of the S&P 500

Over its live history, the S&P 500 experienced 12 bearmarkets that captured periods of pessimism, while theintervening recoveries reflected improved outlooks. On
average, it took approximately 13 months to recover,accompanied by an average peak-to-troughperformance of -33%.

On the upside, bull markets lasted an average of ~five years
with a performance of ~160%. Overall,the index has posted
an annualized price return of around 7% since it launchedon March 4, 1957, and an estimated 10% total return overthe same period.

Bear Markets

S&P 500 (Log Scale)
5120
2560
1280
640
320
160
80

20
ch

ar
M

ch

23

20

17
20

ar
M

20

14
ch
ar

ch
ar

M

11

20

20

ch

ar

M

M

M

ar

ch

20

20
ch

ar
M

M

08

05

02
20

99

ar

ar
M

ch

19

96
19

ch

93

ch
ar
M

M

ar

ch

ch
M

19

90

87
19

ch
ar

M

ar

ch
ar

M

19

84
19

81
19

78
19
M

ar

ch

75

ch

19

ar
M

72

ch

19

ar
M

69

ch
ar
M

19

66
19

ch
ar

M

ch
ar

M

63

ch
ar

19

60
19

ch
ar

M

M

M

ch

19

57

40

ar

S&P 500 Price Index Level (Log Scale)~70 Years of Live S&P 500 Closing Price Index Levels

Source: S&P Dow Jones Indices LLC. Data as of Jan. 19, 2024. Index performance based on price return in USD. Past performance is no guarantee of future
results. A bull market is defined as a 20% rise in the S&P 500 Price Index from its previous low, ending when the index reaches its high and subsequently
declines by 20%. A bear market is defined as a 20% decline in the S&P 500 Price Return Index from its previous peak, and ends when the index reaches its
low and subsequently rises by 20%. Chart is provided for illustrative purposes.

Composition of the S&P 500

The Barometer of Large-Cap U.S. Equity Stock and Sector Trends
Looking at the changes in the largest five stocks over time
and the index’s GICS sector weights shows how the index
composition has evolved to reflect the increased
importance of Information Technology companies andthe reduction in Industrials and Energy companies.

The S&P 500 represents the large-cap segment of the U.S.
equity market. The index is float-market-cap weighted,
which means that index weights reflect aggregate
investor expectations.

Largest Five Constituents in the S&P 500 at 10-Year Intervals (1993–2023)
1993

General Electric.

Exxon Mobil Corp.

AT&T Corp.

Coca Cola Co.

Wal-Mart Stores

2003

General Electric

Microsoft Corp.

Exxon Mobil Corp.

Pfizer, Inc.

Citigroup Inc.

2013

Apple Inc.

Exxon Mobil Corp.

Google Inc.

Microsoft Corp.

General Electric Co.

2023

Apple Inc.

Microsoft Corp.

Amazon.com Inc.

Nvidia Corp.

Alphabet Inc. A

S&P 500 GICS Sector Weights

2.4

iti

es

2.3

Ut
il

ls
ia
er
M
at

Es Re
ta al
te

2.5

Co

m
m

3.9

gy

un
Se icarv tio
ic n
es

ria
st
In
du

6.2

er

8.6

En

8.8

2023

n
St sum
ap e
le r
s

2013

ls

10.9

Di C
sc on
re su
tio m
na er
ry

s
al
nc
i
na
Fi

In
Te for
ch ma
no ti
lo on
gy

12.6

He
a
Ca lthreWeight (%)

13.0

2003

Co

1993

28.9

Source: S&P Dow Jones Indices LLC. Data as of Dec. 29, 2023. Stock names are point in time and not revised to show the most recent names. Stock andsector weights are based on year-end index composition in 1993, 2003, 2013, and 2023. The Global Industry Classification Standard (GICS) was developedin 1999, with back-tested history going back to September 1989. Real Estate became a standalone sector in September 2016. Telecommunication
Services was renamed Communication Services in September 2018. Past performance is no guarantee of future results. Past performance is no
guarantee of future results. Table and chart are provided for illustrative purposes.

Index Series Based on the S&P 500

The S&P 500 Provides a Baseline for Several Flagship IndicesU.S. Core Equity
The S&P 500 Top 10 Index, S&P 500 Top 50 and S&P 100
are mega-cap indices that are subsets of the S&P 500.
The S&P Composite 1500 combines the S&P 500,
S&P MidCap 400® and S&P SmallCap 600®.
The S&P 900 (LargeMid) and S&P 1000 (MidSmall)are combinations of our U.S. size segments.

Equal Weight
The S&P 500 Equal Weight Index gives each company
in the S&P 500 the same weight at each rebalance.
The S&P 500 Equal Weight Futures Index is constructedfrom the front-quarter E-mini futures contract onequal-weight S&P 500.

Factors

Sectors & Industries
The S&P 500 sector indices follow the Global Industry
Classification Standard (GICS) which is a four-tiered
industry classification where companies are classified
by their principal business activity.
The S&P 500 serves as the basis for the Select Sector™
and S&P 500 Equal Weight Sectors, as well as a varietyof capped variants.
Style
Our style series includes broad, exhaustive style indices,
as well as narrower, pure style indices. Style: S&P 500
Growth and S&P 500 Value. Pure Style: S&P 500 Pure
Growth and S&P 500 Pure Value.

VIX

The S&P 500 single- and multi-factor indices trackwell-known factors including size, momentum, quality,
low volatility and dividends.

Volatility – “The Fear Index”: The Cboe Volatility Index (VIX)
gives market participants real-time insight into investor
sentiment and expected levels of market volatility.
Dispersion – “The Opportunity Index”: The Cboe S&P 500
Dispersion Index (DSPX) can be described as a “VIX for
dispersion” and measures how differently stocks are
performing or are expected to perform.

The S&P 500 is available through a range of Sustainability focused methodologies.

Sustainability
The S&P 500 ESG Index is a broad-based float market-cap
weighted index. It measures the performance of securities
meeting sustainability criteria, while maintaining similar
overall industry group weights as the S&P 500.
S&P DJI provides a range of indices for a breadth of
Sustainability preferences. Explore Sustainability from a
Core, Equal Weight, Sector, Style (Growth and Value)
and Factor perspectives.
Sustainable
Development Goals (SDGs)
The S&P 500 SDG Index seeks to measure theperformance of eligible equity securities from the
S&P 500, selected and weighted to collectively
enhance the alignment to the United Nations’ 17
Sustainable Development Goals (SDGs) and reducethe carbon footprint at the index level.

ClimateNet Zero: S&P PACT™ Indices
The S&P 500 Paris-Aligned & Climate Transition Indices arecompatible with a 1.5ºC global warming climate scenario,
in addition to several other climate-themed objectives.
Among our range of climate offering are Low Carbon(Carbon Efficient) and Fossil Fuel approaches.

Biodiversity
The S&P 500 Biodiversity Index seeks to measure theperformance of a subset of equity securities from the
S&P 500, selected and weighted to collectively reduce
the ecosystem impact intensity, limit the proportionof ecosystem impact to significant land, enhance thealignment to specific UN Sustainable Development Goals,
and reduce the carbon footprint relative to the S&P 500.

The full suite of equity indices based on the S&P 500 is available at www.spglobal.com/spdji.

A Brief History of the S&P 500
65+ Years of Market Leadership

1923

1926

1957

1973

1976

1982

Standard Statistics Company (now S&P Global)
calculates the S&P Composite Index
Updated weekly, cap-weighted index of
233 companies, covering 26 industries

S&P 500 replaces 90 stock composite
Trading begins at 44.22

First major retail indexed fund
Based on the S&P 500

S&P 90: Cap-weighted index of 90 companies
Updated daily

One of the first institutional indexed funds
Wells Fargo Stagecoach Fund (based on S&P 500)

First listed index future
S&P 500 futures on CME

1983

1986

1993

1999

2003

2004

Longest-running listed index options:
Options listed on Cboe
March 11 | S&P 100
July 1 | S&P 500

First U.S.-listed exchange traded fund
Based on the S&P 500

World’s first S&P 500 equal weight ETF
Based on the S&P 500 Equal Weight Index

Intraday frequency went from 1m to once every 15s
The current frequency is one second

GICS introduced
In collaboration with MSCIFirst volatility derivatives
VIX futures on Cboe

Source: S&P Dow Jones Indices LLC. Table is provided for illustrative purposes. Please see https://www.spglobal.com/spdji/en/index-linked-products/
for further details. Please note S&P Dow Jones Indices does not sponsor, endorse, sell, or promote any product based on an S&P Dow Jones Indicesindex nor does it make any representation regarding the advisability of investing in any products.

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About S&P Dow Jones Indices

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