An indexing error by S&P Dow Jones Indices led to losses for a number of ETF investors after it failed to remove Carillion in December 2017 from one of its indices.
The S&P UK High Yield Dividend Aristocrats index should have cut Carillion in its December rebalance, however, this did not take place.
The construction company issued three profit warnings since last July, with shares dropping as much as 70% in a week last summer.
As a result, it should have been removed from the index, but was only cut after the firm went into administration in January - shares had fallen from 192.1p on 7 July to just 14.2p prior to the liquidation of the firm.
The index has been adopted by State Street Global Advisors (SSGA) who launched the £95m SPDR S&P UK Dividend Aristocrats UCITS ETF on the London Stock Exchange (LSE) in February 2012.
SSGA said it asked SPDJI to adjust the benchmarks returns if Carillion had been removed in December however, said it would not be changed.
Noel Archard, global head of product at SSGA, said: "SSGA identified the error in January and immediately reported the issue to S&P.
"Upon the initial review, S&P determined that it was indeed an error and referred it to their index committee.
"The SPDR S&P UK Dividend Aristocrats UCITS ETF's policy is to track the benchmark S&P UK High Yield Dividend Aristocrats index provided by SPDJI.
"Unless SPDJI restates the performance of the benchmark from December, changes to the fund would create a deviation from the performance of its benchmark.
"We have asked S&P if they intend to restate the benchmark returns - essentially adjusting the benchmark as if Carillion had been removed in December.
"However, it is our understanding at this time, that per S&P's review, the benchmark will not be adjusted for the error.
"The SSGA team remain in close communication with S&P regarding this situation, both in terms of the current impact of the decision not to restate the index and improvements in S&P's processes to ensure no similar issue occurs in the future."
S&P Dow Jones Indices (SPDJI) said in a statement: "S&P Dow Jones Indices determined that Carillion should have been removed from the S&P UK High Yield Dividend Aristocrats index at the December 2017 rebalance.
"On January 17, after having gone into administration, Carillion was removed from the index in accordance with the index methodology."
SPDJI declined to comment on the reasons for the error.
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