On Tue, 20 May 2008 08:57:00 -0500, raylopez99 <raylopez99[at]yahoo.comwrote:

- quote -

I can't explain the differences, but I have been keeping track of month-end
S&P 500 *Total Return* (includes reinvested dividends) data for years. It
was originally available, along with historic returns, on the Barra web
site. Since that closed down, I have been downloading the month-end
information (available free for a few months after the close) from the S&P
web site.

The numbers I calculate, using Excel, track your "textbook" figures:

ending 12/31/1997
10 yr: 18.041%
8 yr: 16.623%
6 yr: 18.052%

I suspect the small difference at 8 yr may be due to either a rounding
error or possibly a typo in my data.

But I believe that the Yahoo data does not include dividends or expenses,
since it is an Index; whereas VFINX probably includes dividends and
expenses, and the textbook (like my data) includes dividends but no
expenses.
--ron

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On Jun 18, 6:58*pm, BreadWithS...[at]fractious.net wrote:

- quote -

But Lehman only provides 1, 5, 10, 15 and 20 year time periods, which
is fine for a "rolling average", but my problem is that i have a
specific date from 15+ years ago that I must calculate the IRR
(internal rate of return) to present for.

- quote -

Yes, I agree. Nothing is free, and I was pleasantly surprised Yahoo
had historical data for the S&P500 index.

Thanks for your help anyway. For now I'll stick to just comparing my
portfolio to the S&P500, which, since it has bonds, it will lag, but
that's OK.

RL

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raylopez99 <raylopez99[at]yahoo.com> writes:
- quote -

That's why you ask for daily total returns, not daily
index price levels or "adjusted close".

It's actually a bit more complicated than even that -
they break things down into a "returns universe" and
a "statistics universe" - because of the way that the
index is constructed.

But you really don't want to go down the path of
actually reconstructing daily returns on the Agg.
Just ask Lehman for those daily (or other periodic)
returns pre-calculated.

You can probably get those time series off a Bloomberg,
too, but I don't know of any free and open source for
those numbers.

Lehman does publish them daily:

<http://www.lehman.com/indices/dailyreturn.html
But unless you're an actual client of theirs (to
whom they usually offer lots of great data for "free"),
they charge quite a bit for larger scale access to
their data. Click on the "subscription services"
link on that page above for details.


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On Jun 18, 10:38*am, BreadWithS...[at]fractious.net wrote:

- quote -

True, but the problem is the "Adjusted Close" of an index has to be
recomputed every time (see this thread)--it's not a fixed number that
doesn't change month to month. So, unless I can find free historical
data for Leh agg or some other bond indices (going back about 15 or 20
years in my case), I would have to email Lehman every month or so that
I calculate my rate of return on my spreadsheet--I doubt Lehman wants
to support me on that.

Anybody know where free bond historical price data exists, with an
Adjusted Close?

RL

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raylopez99 <raylopez99[at]yahoo.com> writes:
- quote -

The AGG fund's inception date is 9/22/03.

Any earlier than that and your only real choice is to get
actual Leh Agg index total returns.

I used to have access to them (and tracked component data
for the Leh agg and other bond indices) directly from
Lehman, but I no longer have access to it. I suspect
that if you e-mailed Lehman directly, someone may be
happy to send you a time series of daily total returns
on the Agg. It's quite trivial on their systems.


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On May 21, 6:15*am, kastnna <kast...[at]auburnalum.org> wrote:

- quote -

Good idea. The problem is, I just noticed that AGG, the Lehman
iShares Lehman Aggregate Bond (AGG), only goes back to 2003 (at least
on Yahoo's "historical data" finance site).

Does anybody know where I can get Adjusted Close data for this or any
other bond fund, free, so I can construct this hybrid index?

RL

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On May 20, 10:03 pm, "Andrew Koenig" <a...[at]acm.org> wrote:
- quote -

Yes. Indexes almost never include reinvested dividends, which
obviously make a big difference over time.

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On May 21, 7:15*am, raylopez99 <raylope...[at]yahoo.com> wrote:

- quote -

If you're looking to keep it simple, why not use a hybrid of the S&P
500 and, say, the Lehman aggregate Bond index or some other bond
index. Just weight the two indices to make a new benchmark that has
similar risk to your portfolio.

If your portfolio is 20% bonds and 80% equities, then over a given
period you would want to outperform ((the Lehman * 0.20) + (the S&P * .
80)). It's crude, but it will be slightly more accurate AND it's
merely an extension of the work you've already done. Mostly a compy
and paste situation for excel.

Bottom line is this: If you've got a portfolio with less risky
investments (i.e. bonds), then conventional thinking suggests that ON
AVERAGE and OVER THE LONG TERM you are going to consistently
underperform the S&P 500 (unless your equities are more risky than the
S&P). Keep that in mind. You don't want to become disgruntled with a
perfectly good portfolio, because it is being held to overly
aggressive expectations.

Good luck.

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On May 20, 2:00*pm, kastnna <kast...[at]auburnalum.org> wrote:
- quote -

Quite right, but I have not been able to figure out how to do an easy
Treynor/Sharpe analysis using just simple tools available in Excel
(though I'm sure you can do it with some programming finesse I'm not
prepared to invest in). I simply assume my portfolio is "safer" than
the market (since I own bonds, gold, which depress the beta I imagine)
then use the "market" (SP500 or equivalent) as a bogey to track. Good
enough for my non-professional purposes, though if there's an easy way
to compute risk adjusted returns (other than the online tools which
eTrade and others provide, using red/yellow/green for risk, which seem
imprecise) I'd like to know about it.

RL

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On May 20, 11:42*am, BreadWithS...[at]fractious.net wrote:
- quote -

Yes, I think I'm doing adjusted close correctly, insofar as every time
I download the data I run the PV/FV/N/i analysis again (for the new
period). Time consuming but unavoidable since the data for "adjusted
close" going back to the beginning (early 1980s) changes every time a
new month is added (much to my annoyance).

RL

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"raylopez99" <raylopez99[at]yahoo.com> wrote in message
news:f5b3a1dc-82c5-4e06-ba12-57befce60a3f[at]26g2000hsk.googlegroups.com...

- quote -

The size of the discrepancy suggests that ^GSPC doesn't include reinvested
dividends.

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On May 20, 2:08*pm, raylopez99 <raylope...[at]yahoo.com> wrote:
- quote -

Does your portfolio match "the market"? Unless your portfolio has a
beta of 1 or IS an S&P500 fund/index, you're missing the boat.

If your portfolio is loaded up with bonds, international funds, etc...
you will need a composite benchmark to accurately accomplish your
task.

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Thank you Bill and Elle, it appears that you've solved this problem.
I was using N=10 years, compounded every year, and the explanation
about VFINX (adjusted) rings true. Since VFINX (adjusted) is the only
free data I can find for a representative sampling of the US market,
I'll stick to that, unless somebody has a better proxy. I am simply
trying to judge how close to "the market" my stock porfolio has
returned over the past 10 yrs (so far, pretty close).

BTW, what is interesting about "adjusted" data is that all historical
data seems to change every time you download the series, but, as
explained in the other thread I reference, that's an unavoidable fact
of life, and I've automated this process and calculations in my
spreadsheet.

RL

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raylopez99 <raylopez99[at]yahoo.com> writes:

- quote -

Are you using those adjusted closes correctly?

They are a *one-period-only* correction.
They may be used to determine a return for a single
period - ie. the only thing you can use an adjusted
close for is in comparison to the open for that same
period. Then, for longer periods, you need to create
chained returns (ie. (1 + ret1)(1 + ret2)(1 + ret3) )

You cannot do (adj.close2 - open1) for a total return
which encompases periods 1 and 2.

If you used them correctly, you should get numbers which
look a lot more like the VFINX, though I haven't double
checked them myself.

- quote -

How did you do the geometric returns, though - if you
took
(adj_close_at_end_of_yr_10 - open_at_begin_yr_1)^(1/10)

ie. tenth root of difference, you should *not* get the
right numbers. The only open against which a adjusted close
may be compared is the open for the matching reporting period,
if my understanding of Yahoo's adjusted close reporting is
right.



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- quote -

It looks like the return cited by your textbook includes dividends but
not expenses. As for the others:

^GSPC doesn't include dividends or expenses
VFINX (unadjusted) includes expenses but not dividends
VFINX (adjusted) includes expenses and dividends

Also, bear in mind that an S&P 500 index fund like VFINX does not
track the S&P 500 EXACTLY. There are a couple reasons for this. For
example, VFINX is not 100% invested in stocks. According to Yahoo
Finance, VFINX hold .02% cash and .03% bonds. So there's a minor
deviation right there. As an aside, proponents of indexing claim this
is a major strength of index funds. In an index fund, the vast
majority of your money is actually invested. In managed mutual fund,
this is not necessarily true. AGTHX, for example, currently holds
12.6% cash.

There's also the issue of the number of compounding periods used. It
looks like you're using one. Personally, I prefer to use continuous
compounding, just in case I need to do some calculus. Using
continuous compounding, the rate of return for VFINX (adjusted) over
your 10 year period was 16.34%. That's a difference of 1.41%.

--Bill

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"raylopez99" <raylopez99[at]yahoo.com> wrote
- quote -

Seems to me it's simply that ^GSPC is an index, not an
actual fund. It has no cap gain and dividend distributions
that would result in an "adjusted close" the way funds do.
Also, what each index-based fund does as far as dividends
and capital gain distributions each year will vary a bit,
depending on management.

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On May 20, 9:57*am, raylopez99 <raylope...[at]yahoo.com> wrote:
- quote -

There is monthly S&P 500 total return data from December 1990 to the
present at http://www2.standardandpoors.com/spf...ex/MONTHLY.xls

http://tinyurl.com/5vpvfd

Hello again,

A while ago, I posted in a thread (see above) on needing historical
data for the S&P500, with dividends reinvested.

I found the Yahoo S&P 500 INDEX,RTH (^GSPC) (http://finance.yahoo.com/
q/hp?s=%5EGSPC) and also the Vanguard 500 Index (VFINX) (http://
finance.yahoo.com/q?s=VFINX), which, if you use the adjusted close
(which apparently reinvests dividends, which is what I want), seems to
get the job done.

However, I am finding anomalies in the data, in particular the Yahoo
S&P500 (^GSPC) data vs VFINX vs what I found in a finance textbook.
Can anybody explain why?

Here is the data for annual (geometric) return for each of these data:

for the 6, 8 and 10 years ending December 31, 1997, using Yahoo /
VFINX / Finance textbook (Reilly) table citing "Frank Russell Company,
Tacoma, WA"

For 10 years:

Yahoo (^GSPC): 14.7%; VFINX: 17.76%; textbook: 18.0%

For 8 years:

Yahoo (^GSPC): 13.46%; VFINX: 16.45%; textbook: 16.7%

For 6 years:

Yahoo (^GSPC): 15.11%; VFINX: 17.91%; textbook: 18.1%

As can be seen, the Vanguard SP500 index tracks the textbook much more
closely than the Yahoo (^GSPC) data, so I am inclined to believe the
Yahoo ^GSPC data is suspect.

Any ideas?

RL

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