Calculating Quarterly S&P Price and Total Returns

Summary

For a quarterly price return, the document recommends comparing the index closing price at quarter end with the prior quarter-end close, rather than averaging daily prices. For the example of a first-quarter return, this means using the March close relative to the December close. The calculation captures price appreciation or decline over the period.

That measure excludes dividends, so it differs from total return. A total-return calculation must specify how dividends are treated, such as reinvesting them in the index or earning a money-market return. The return calculation should also state its day-count and compounding conventions. The document offers this as practical guidance but does not define a particular official S&P data series or address index-specific publication conventions.

Key ideas

• Quarterly price return can be computed from quarter-end closing prices rather than the average daily price.
• A price-only return excludes dividends and therefore differs from total return.
• Total-return calculations depend on assumptions about how dividends are invested.
• Day-count and compounding conventions should be stated explicitly.

Tags

# quarterly S&P price


# quarterly S&P price












I need the quarterly S&P price, but only have the daily data. What is the official definition of the quarterly price? Is it just the average or is it the closing (opening) price of e.g. march closing price minus closing price december divided by closing december price?

## Answer by AlRacoon (score 1, accepted)

https://quant.stackexchange.com/a/49412

If you are just looking at price returns, you would use: (closing price of March - closing price of Dec) / closing price of Dec. However, this would not include the returns due to dividends. If you want total returns you would need to incorporate dividends. Also, you would have to make some assumptions about the return on those dividends. For example, are you assuming the dividends are re-invested into the S&P? Or are you assuming the dividends are earning some money market rate. Also, your return calculation would need to be explicit on the day count and compounding convention.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.