Re: [amibroker] Adjusted ETF Data, AmiBroker Email List Archive

Hi Steve,

Adjusting for dividends and capital events (splits etc.) provides a ?total return? chart.

The reason that adjusting for dividends has suddenly become popular is because Yahoo does it that way by default. However, institutional data sources have never been adjusted for dividends. Indeed, all of the major indexes are not adjusted for dividends (DJIA, S&P 500, Wilshire 3000, FTSE 100, All Ords, Nikkei 225, DAX).

You could argue that dividends are just a normal part of business and don?t need to be adjusted for. Similarly, if the CEO?s salary increases from $10M to $30M, this has an effective on the bottom line of the company, but you don?t adjust for that. Other corporate activities such as spinoffs and stock splits represent significant changes to the capital structure of the company and, therefore are adjusted.

The other issue with adjusting for dividends is the difference in time between the ex date and the dividend payment date. To be perfectly accurate, you would adjust on the ex date but credit your account on the payment date.

With ETFs, there are multiple types of dividends (long term capital gains dividends, short term capital gains dividends, standard cash (income) dividends). Each of these types can represent a different taxation scenario, depending upon how you are trading/investing. So you might wish to adjust some types of dividends differently to others.

We?re slowly working on an ETF service that will provide you all manner of features, and also allow you to check items such as NAV, cash and premium/discount too, but this will necessitate more fields than just OHLCV, so we?ll need a more sophisticated database solution (which is in the works).

Best regards,
Richard Dale.
Norgate Investor Services
- Premium quality Stock, Futures and Foreign Exchange Data for
markets in Australia, Asia, Canada, Europe, UK & USA -
www.premiumdata.net

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Steve Dugas
Sent: Saturday, 13 September 2008 10:29 PM
To: Yahoo - AmiBroker
Subject: [amibroker] Adjusted ETF Data

Hi - Just out of curiousity, is there anyplace on planet earth where we can subscribe to ETF data that supplies OHLCV and has also been adjusted for cash distributions? I guess Richard Dale is our resident data expert - Richard, would this be a terribly hard thing for a data provider to offer? Are adjustments generally made by the wholesaler or the retailer? Why do providers sometimes adjusted for stock dividends but not cash dividends? Thanks very much for any info!

Steve