- Joined
- 12/30/07
- Messages
- 21
- Points
- 11
Ok,
So i would like to know whether it is possible to calculate total return from Yahoo's data (be it for individual stocks, indices etc.)
I currently subscribe to www.economagic.com for most of my data needs and they have a total return index for the S&P500 from 1970, monthly. the data make sense as it reports an 11.38% return w/ a monthly annualized vol of 15.05%. tbills returned about 6.03% during that period so a rough calculation leads to an excess return of 5.35% for a sharpe ratio of about .30 ... which is what i'd expect over that period and likely a bit above expectations (i'd think going forward we could probably expect .25 SR from the domestic broad based stock index).
using the yahoo data (*adjsuted close) i calc 7.49% total return on a daily annualized vol of 15.57%. so while the vol looks to be in line (i'd expect daily annualized vol to be slightly higher than monthly annualized vol), the yahoo data returns are basically seem to be not taking into account the reinvesting of dividends. given how important that is to total returns, i'd like to know if any of you know where to get daily *adjusted close data that actually take into accoutn reinvesting of dividends (or a way to calc it readily)
thoughts?
thanks,
Barron
So i would like to know whether it is possible to calculate total return from Yahoo's data (be it for individual stocks, indices etc.)
I currently subscribe to www.economagic.com for most of my data needs and they have a total return index for the S&P500 from 1970, monthly. the data make sense as it reports an 11.38% return w/ a monthly annualized vol of 15.05%. tbills returned about 6.03% during that period so a rough calculation leads to an excess return of 5.35% for a sharpe ratio of about .30 ... which is what i'd expect over that period and likely a bit above expectations (i'd think going forward we could probably expect .25 SR from the domestic broad based stock index).
using the yahoo data (*adjsuted close) i calc 7.49% total return on a daily annualized vol of 15.57%. so while the vol looks to be in line (i'd expect daily annualized vol to be slightly higher than monthly annualized vol), the yahoo data returns are basically seem to be not taking into account the reinvesting of dividends. given how important that is to total returns, i'd like to know if any of you know where to get daily *adjusted close data that actually take into accoutn reinvesting of dividends (or a way to calc it readily)
thoughts?
thanks,
Barron
