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Confused by benchmark return discrepancy

I've noticed when I do a benchmark return for the past 5 year using the set_benchmark function for SPY, the backtest shows a 104% whereas when I cross reference this using the same start and end dates in Yahoo Finance and other sources, the return is 79.4%. Am I missing something here in how the benchmark return is calculated?

1 response

The returns in Quantopian include dividends which are then reinvested. The returns in Yahoo simply take the first and last prices and do not include reinvested dividends.

Amazing how much those dividends help out the bottom line.