By aggregating a company’s dividends, net buybacks and net debt reduction, shareholder yield provides a comprehensive measure for identifying companies that return the most value to their shareholders. The S&P 500^® Resilient Shareholder Yield Index tracks 100 companies from the S&P 500 universe that exhibit high shareholder yields and strong fundamentals relative to their peers. The index was launched Dec. 2, 2024.

Methodology

The S&P 500 Resilient Shareholder Yield Index’s methodology begins with an inclusion criterion requiring companies to have a positive shareholder yield of 25% or less. This helps ensure that the index avoids companies with high yields that may indicate structural issues or financial weakness.

Subsequently, a composite z-score is calculated using four metrics: two quality indicators—return on equity (ROE) and free cash flow (FCF) to debt—and two metrics that assess the company’s ability to deliver consistent long-term shareholder returns: high shareholder yield and high capital return growth. The index weights its constituents based on their float market capitalization (FMC) multiplied by their shareholder yield.

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Performance

Historical back-tested performance shows that the S&P 500 Resilient Shareholder Yield Index has outperformed its benchmark over the long term, posting a strong risk-adjusted return of 0.75 compared to 0.52 for the benchmark (see Exhibit 3). The index has historically demonstrated defensive characteristics, as evidenced by its reduced volatility and a lower downside capture ratio of 81.19%. Additionally, this back-tested data shows that the index has offered a higher dividend yield than the broader S&P 500 across the analyzed time horizon, further enhancing its appeal to market participants seeking resilient returns.

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Fundamental Attributes:

The value and defensive focus of the S&P 500 Resilient Shareholder Yield Index is demonstrated via its historically higher-than-benchmark dividend yield and low valuation metrics. As of June 30, 2025, it also had higher ROE and return on invested capital (ROIC) metrics than the benchmark, demonstrating its quality aspect.

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Sector Weights

The S&P 500 Shareholder Yield Index currently tilts toward Information Technology, Industrials, Communication Services and Health Care. However, the weights have transitioned over time; historically, there were much higher concentrations in the Consumer Staples and Consumer Discretionary sectors and lower weights in Financials and Industrials.

Interestingly, the largest underweight versus the benchmark is currently in Information Technology, at -14.3%. The highest overweight is in Energy, at 9.01% (see Exhibit 5). This is a function of both the selection metrics and the 4.5% stock weight cap, which reduces the weight of the larger companies.

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Performance Resilience across Varying Macroeconomic Conditions

While historical back-testing demonstrates the index’s downside protection and defensiveness, an analysis was conducted to assess its performance across four distinct macroeconomic environments characterized by varying growth and inflation rates. The results show that the S&P 500 Resilient Shareholder Yield Index exhibited the most significant outperformance in the Falling Growth and Rising Inflation environment, achieving an average monthly excess return of 0.57%.

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Conclusion

The S&P 500 Resilient Shareholder Yield Index selects constituents that exhibit quality attributes and strong financial metrics, enabling them to deliver robust shareholder returns across various macroeconomic environments. Historical back-testing reveals strong risk-adjusted returns, defensive characteristics and enhanced dividend yield, underscoring the index’s historical resilience.

¹ Free Cash Flow (FCF) is comprised of operating cash flow minus capital expenditure

² Methodology is available here.

³ A Historical Perspective on Factor Index Performance across Macroeconomic Cycles – Education | S&P Dow Jones Indices

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