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Historical S&P 500 Total Return Data and Dividend Reinvestment Conventions

Article Quant Q&A · Author: Egodym
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Summary

The discussion outlines possible sources for monthly S&P 500 total return history and explains why different index series may begin at different dates. It describes four total-return index variants with base periods of 1936, 1970, 1988, and the start of the current year. The historical series use different dividend reinvestment schedules: quarterly for the 1936 series through 1988, monthly for the 1970 series through 1988, and daily for the later series.

For data before the modern index series, one answer points to Robert Shiller’s long historical dataset, which reaches back before the S&P 500 itself existed. It suggests combining price and dividend data to estimate total return. The thread provides leads rather than a verified, consistent dataset; it explicitly raises uncertainty about the quality of one source. Researchers should check definitions, reinvestment timing, and historical backfilling before comparing or joining these series.

Key ideas

  • S&P 500 total-return series have different base periods and dividend reinvestment conventions.
  • The 1936 and 1970 series were constructed for historical use.
  • The later index variants use daily dividend reinvestment under different base-period definitions.
  • Shiller’s historical data can extend analysis before the S&P 500 existed, but requires careful interpretation.
  • The suggested sources are leads whose data quality and comparability should be verified.

Tags

EquitiesUS marketsBacktesting
Full text
# S&P 500 total return since 1956


# S&P 500 total return since 1956












I'm looking for monthly data of the S&P 500 total return since 1956. I have looked into Bloomberg and Datastream, but it looks like there are data only from 1988.

## Answer by pyCthon (score 4, accepted)

https://quant.stackexchange.com/a/17766

My understanding is that there are multiple S&P500 total return indexes. Each has a different base year, 1936, 1970, 1988 and year to date. If you can't find the ticker for the different indexes on bloomberg or by asking support, you could try s&p themselves.

I was also able to find 1970 to present here(I'm not sure about the quality of the data, though a source confirms my understanding.)

`There are four different total-return indices for the Standard & Poor's 500 Index: 1936, 1970, 1988, and year-to-date. Each one uses a different base period. The 1936 and 1970 total return indices were developed for historical use. Dividends are reinvested quarterly from 1936 through 1988 in the 1936 total-return index, and dividends are reinvested monthly from 1970 through 1988 in the 1970 total-return index. The 1988 total-return index is calculated based on daily reinvestment of dividends and uses January 1, 1988, as the base period. The year-to-date total-return index is also calculated assuming daily reinvestment of dividends; however, the base period is the last day of the prior year.`

## Answer by demully (score 0)

https://quant.stackexchange.com/a/61119

Robert Shiller at Yale has it monthly back to 1870 (obviously backfilling before the actual existence of SPX itself). This is the data used to compute the famous/infamous CAPE....

http://www.econ.yale.edu/~shiller/data.htm

(Just add the dividends to price to give you TR).

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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