The Should Make An ETF Of That

There exists an S&P 500 Annual Dividend Futures Index. I am surprised there isn't an ETF to track it. It is what it sounds like, it tracks the dividends of the S&P 500 which is not to say it is a yielding instrument and I wouldn't expect any ETF tracking it to be a yielding instrument. Maybe. If it existed, it would hold a lot of T-bills and enough futures contracts to create the effect of owning the index so it might kick out some interest. 

In a way, it would be better than the actual dividend stream of the S&P 500 for tax reasons, so maybe that benefit would not relevant for IRA and other qualified accounts. But, could such an ETF be differentiated return stream to consider for investors interested in alternative strategies?

It took some doing to find a chart where it could be compared to the S&P 500, the blue line . It's pretty much a horizontal line that tilts upward. The S&P Global website says the three year annualized return is 11.20%. 

If you know of a website that can run correlation analyses between futures and mutual funds/ETFs please let me know but for now, AI thinks it is uncorrelated to various alternative strategies including macro and absolute return but it did not go too much deeper. I asked about the correlation to the S&P 500 and it thought the correlation would be high-ish between 0.50-0.80 and while the correlation might be that high, it seems to be far less sensitive to movements in the stock index. 

Unrelated, the Brookmont Catastrophic Bond ETF is going to start trading tomorrow under symbol ILS. The website is up and running here. Here's some info from the page.

I'm all in on the concept but I will be curious to see whether the space will work inside of an ETF. A fund representative was on ETFiQ on Monday and when asked about liquidity and market making operations, he talked about bank loans having a similar profile so they could be a way to help manage intraday creations and redemptions. We'll see, but if the ETF doesn't work, I do believe in mutual funds to access the space in a modest proportion. 

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