Message Boards Message Boards

0
|
4308 Views
|
2 Replies
|
0 Total Likes
View groups...
Share
Share this post:
GROUPS:

FinancialData gives incorrect returns for all securities on dividend days

Posted 10 years ago

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
2 Replies

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

POSTED BY: l van Veen
Posted 10 years 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
Reply to this discussion
Community posts can be styled and formatted using the Markdown syntax.
Reply Preview
Attachments
Remove
or Discard

Group Abstract Group Abstract