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FinancialData[] doesn't have recent distributions?

Joe Gilray
Posted 11 years ago
It is May 12 today, on May 2 FMAGX did a distribution, but it is not yet shown in the "adjusted" data:

FinancialData["FMAGX", "Close", {2014, 4, 29}]


{{{2014, 4, 29}, 93.02}, {{2014, 4, 30}, 93.17}, {{2014, 5, 1}, 93.47}, {{2014, 5, 2}, 87.59}, {{2014, 5, 5}, 87.83}, {{2014, 5, 6}, 86.78}, {{2014, 5, 7}, 86.82}, {{2014, 5, 8}, 86.69}, {{2014, 5, 9}, 86.91}}

Are distributions always posted very late, or is this an anomaly?

Thanks,
-Joe
POSTED BY: Joe Gilray
12 Replies
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S Petrosyan
S Petrosyan
Posted 11 years ago

In "CumulativeReturn" distributions are supposed to be reinvested. However, because of double counting, distributions get reinvested twice. "CumulativeFractionalChange" gives you a cumulative return with reinvested distributions, while its original intention was to have no reinvestment of distributions. This is clearly a bug.
POSTED BY: S Petrosyan

I'm not sure exactly how it is calculated. I assume that simulating the re-investment of the dividends would make sense as a measure of CumulativeReturn. You may want to forward this question to technical support sometime. They might not be able to answer it directly, but can forward it to the relevant developer and get back to you. Or you may consider posting this in a new thread. Adding new issues to an old thread like this tends to not catch the attention of people who might know the answer to your question.

POSTED BY: Sean Clarke

I also think that CumulativeReturn overstates distributions. Are distributions assumed to be reinvested or paid out?

POSTED BY: Andrew Marcuvitz

I asked a developer to quickly check the values being returned and they didn't see any double counting. If you believe there's an error in the output, contact support@wolfram.com with an example of the issue.
POSTED BY: Sean Clarke
S Petrosyan
S Petrosyan
Posted 11 years ago

I think there is a bug in how FinancialData calculates "Return", "FractionalChange", "CumulativeReturn", and "CumulativeFractionalChange".

"FractionalChange" and "CumulativeFractionalChange" are calculated on Adjusted Close prices and therefore take into account distributions; instead they should be calculated on Raw Close prices.

"Return" and "CumulativeReturn" adjust "FractionalChange" and "CumulativeFractionalChange" for distributions, but since "FractionalChange" and "CumulativeFractionalChange" are already adjusted for distributions we end up counting the distributions twice.

here is a simple line of code that illustrates this bug:

ListLinePlot[{FinancialData["MORL","CumulativeReturn", {{2012,10,17}, {2013,5,31}},"Value"],FinancialData["MORL","CumulativeFractionalChange",{{2012,10,17}, {2013,5,31}},"Value"],FinancialData["MORL","RawClose", {{2012,10,19}, {2013,5,31}}, "Value"]/25.9}]

I found this bug to be present in all stocks and ETFs that I looked at, even on SPY.
POSTED BY: S Petrosyan
The values given by FinancialData should agree with the values on Yahoo Finance's website.

The way that Yahoo Finance corrects for dividends, inflation, splits, etc has confused me in the past. Changes and corrections also happen retroactively. I find it useful to use the "raw" closing values and do adjustments as I need them:

http://support.wolfram.com/kb/4299
POSTED BY: Sean Clarke
Joe Gilray
Joe Gilray
Posted 11 years ago
Hi Christopher,

What's wrong with the data below is that the closing values for the dates *before* 5/2 are incorrect.  They should be adjusted because of the distribution.

{{{2014, 4, 29}, 93.02}, {{2014, 4, 30}, 93.17}, {{2014, 5, 1}, 93.47}, {{2014, 5, 2}, 87.59}, {{2014, 5, 5}, 87.83}, {{2014, 5, 6}, 86.78}, {{2014, 5, 7}, 86.82}, {{2014, 5, 8}, 86.69}, {{2014, 5, 9}, 86.91}}

I would expect to see something like this:

{{{2014, 4, 29}, 87.89}, {{2014, 4, 30}, 88.03}, {{2014, 5, 1}, 88.31}, {{2014, 5, 2}, 87.59}, {{2014, 5, 5}, 87.83}, {{2014, 5, 6}, 86.78}, {{2014, 5, 7}, 86.82}, {{2014, 5, 8}, 86.69}, {{2014, 5, 9}, 86.91}}

-Joe
POSTED BY: Joe Gilray
What was the expected value for close on {2014, 5, 2}
POSTED BY: Christopher French
Did you try searching forum on the subject? - there are a lot of good posts. For example:

Obtaining and exporting financial data for a specific time range
POSTED BY: Sam Carrettie
Joe Gilray
Joe Gilray
Posted 11 years ago
Thanks Sean, BTW WolframAlpha seemed completely messed up today and had a warning:

Maintenance Notice:Reports for finance-related queries may be returning fewer results than usual. We appreciate your patience as we work through an update to our financial data infrastructure.
POSTED BY: Joe Gilray
You can also compare against Wolfram|Alpha. Wolfram|Alpha uses a different data source which might update these kinds of things quicker.
POSTED BY: Sean Clarke
FinancialData pulls most of its information from Yahoo Finance's API. I believe that's the case here as well.

Check Yahoo Finance. Does it show up in Yahoo Finance? If not, then it's unlikely you'll see it in FinancialData.
POSTED BY: Sean Clarke
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