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FinancialData gives incorrect returns for all securities on dividend days

GROUPS:

I am pretty sure that FinancialData gives incorrect returns for all stocks, ETFs and other securities on distribution days.

Let's take an example of SPY ETF that payed a dividend of 0.937 USD (or 0.48%) on June 20th, 2014.

On June 19th the raw close price was 196.48 and on June 20th the raw close price was 195.94. This means that the fractional change in price was 195.94/196.48 -1 = -0.27%

However, once you adjust for the dividend on that day you get 0.48%-0.27%=+0.21% return.

FinancialData function gives +0.21% FractionalChange on that day and a +0.68% return!!!

This is clearly a bug since it is double counting the dividends!

FinancialData["SPY", "Return", {{2014, 6, 19}, {2014, 6, 20}}]
FinancialData["SPY", "FractionalChange", {{2014, 6, 19}, {2014, 6, 20}}]
FinancialData["SPY", "Close", {{2014, 6, 19}, {2014, 6, 20}}]
FinancialData["SPY", "RawClose", {{2014, 6, 19}, {2014, 6, 20}}]
POSTED BY: S Petrosyan
Answer
5 months ago

Did you report this as a bug to Wolfram? Just curious.

POSTED BY: l van Veen
Answer
3 months ago

Yes, I did report it, but Wolfram needed my registration info which I don't have. I was testing it on the free version of Wolfram Cloud.

POSTED BY: S Petrosyan
Answer
2 months ago