SPY Year-to-date as of April 10:
quantopian +1.8%
finviz +2.6%
yahoo +0.9%
google +2.2%
bigcharts +1.8%
so i put raw data on a spreadsheet and calculate myself: 0.9% + 0.4% dividend = +1.3%
What's a quant to do when major data sources don't agree on the most-followed index fund in the world?
These can all be correct and it depends on the context...
For instance:
The +1.8% might be a Buy and Hold of the SPDR S&P500 ETF without reinvesting dividends YTD.
The S&P 500 Total Return Index is up +2.68% YTD, this includes reinvesting all dividends and no fees.
Thank you, Nicholas.
Your comment adds to the mystery. The official SPY web page indicates Q1 is +0.93%. Annual gross fees -0.1%.
Important to note: on the official SPY web page. MONTH END As of 03/31/2015
Yahoo quotes the same return, with the footnote ²As of Mar 31, 2015.
Yes, good to note, Nicholas. Without dividend Q1. Which makes me wonder: Quantopian SPY benchmark Q1 -0.7%. Maybe commission, slippage.
On my most recent backtest, the SPY bench mark on 12/30/12 was +15.9%. A year later, 12/30/13, SPY was +48.6%. That's about right. But a year later on 12/30/14 it is +70.7%. The SPX didn't go up nearly that much in 2014, did it? Or do I need to take this math teacher's remedial class?
These differences arise from the different data sources, slippage, and commissions.
From our FAQ,
"Quantopian uses the last traded price as the close price for the security. Depending on the data source, others may use end-of-day (EOD) prices. For example, Yahoo is an EOD datasource. Yahoo and other EOD data providers get their price and volume data from the official exchange record. Quantopian's data is generated by the actual trades, regardless of what exchange the trade was made on. The EOD sources rarely exactly match data derived from intraday data. For instance, the official close for a NYSE stock is the last trade of the day for the stock on NYSE. But if the stock also trades on Chicago, Pacific or another regional exchange, the last trade on one of those exchanges could be our close."
Our prices are also adjusted for splits and mergers, but not for dividends. Dividend events are added as cash to your portfolio. By default, slippage will transact 25% of stock's volume per bar and commissions are $0.03 per share. Both of these settings are adjustable, and can be turned off entirely.
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