Executive Summary
The S&P/ASX 200 High Yield Select Index seeks to track the performance of 50 companies with high estimated 12-month dividend yield from the S&P/ASX 200. From July 31, 2011, to June 30, 2025, the index had an average trailing 12-month dividend yield of 5.32% and an annual excess return of 1.97% compared with the S&P/ASX 200.
Index Construction
To measure companies with consistently high dividend yield in the Australian market, the S&P/ASX 200 High Yield Select Index applies three key elements to enhance dividend yield stability.
First, the index assesses dividends from a forward-looking perspective subject to a yield cap, leveraging the S&P Capital IQ Estimates dataset. Historical dividend payments may not indicate a company’s future dividend, especially when the company’s payout is heavily influenced by its future earnings. The estimated future dividend plays a vital role in the index construction as it could help reflect the latest market consensus. To avoid dividend traps from unsustainably high yield, eligible stocks must have an estimated dividend yield that is no more than 12%.
Second, stocks with low price momentum are excluded. To avoid high dividend yield driven by price depreciation, a momentum screen is applied. After eligibility screens, the index excludes the bottom 10% of stocks as measured by past 12-month price momentum.
Third, stocks with high volatility are screened out. The S&P/ASX 200 High Yield Select Index takes an innovative approach to blending low price volatility with dividend yield. After high yield selection, an additional screen is applied to exclude stocks with low risk-adjusted dividend yield (estimated 12-month dividend yield divided by the realized price volatility). The screen penalizes stocks with high volatility relative to dividend yield; a stock with a relatively low dividend yield and high volatility would be excluded. In this way, the S&P/ASX 200 High Yield Select Index may provide a measurement of companies with relatively low volatility while maintaining a high dividend yield focus.
How Does the Index Work?
Exhibit 1 summarizes the index methodology. It begins with the S&P/ASX 200 universe. To qualify for index inclusion, a stock must not be classified as a REIT, must have a positive 12-month estimated dividend yield that is no more than 12% and must have a trading history of at least one year. Afterward, all stocks are ranked by momentum value and those in the bottom 10% are excluded.
The 75 stocks with the highest 12-month estimated dividend yield are selected from the eligible universe. Then, 25 stocks are excluded based on the highest dividend yield to realized volatility ratio, forming the final composition of 50 stocks.
The 50 selected stocks are weighted by the product of estimated dividend yield and the float market capitalization. To avoid stock concentration risk, the weight of each stock within the index is capped at 10%. Each sector weight cannot exceed the sector weight in the S&P/ASX 200 + 10%. The index is rebalanced semiannually in January and July.
