Are dividends included in benchmark and portfolio returns?

Research
1

Hi everybody,

I was wondering if dividends are included in total return calculations for benchmarks and portfolio simulations? If not, is there a way to include them to get total returns?

Also, is it assumed that they are reinvested back, or do they always remain in cash for the entire backtest simulation?

Thanks in advance.

2

igor - Dividends are included for both benchmarks and ports/sims. For ports/sims they are treated as cash in the account that will be used for future investments.

For the benchmark, only ETFs have dividends, not indices. SO the S&P 500 index would not include dividends but the SPY index would. And of course the dividends are re-invested in the benchmark.

Steve

3

Thank you