My Best(SPY-SH) R2G model is currently invested in SPY. I record the weekly change from Monday to Monday. On Sep-22 the model showed a gain from last Monday of 0.09% whereas benchmark SPY showed a higher gain of 0.55%. How can there be a difference?
The value of SPY assumes dividends to be reinvested. SPY announced a dividend of $0.939 on Sep-19 to be paid on 10/31/14. The “All Transaction” listing of Best(SPY-SH) shows this dividend but has currently $0.00 in the Amount column for it. That is correctly recorded because dividends that are earned from the underlying equities in SPY are held in cash until paid out on a quarterly basis. So one can only re-invest the dividend on 10/31/2014.
When I run the model as a Simulation the ex-dividend date is shown as 9-19-14 and the dividend is recorded as paid on 9-23-14. That is incorrect. However, the value of SPY is the value adjusted for dividends and reflects this dividend as having already been paid. Yahoo has the same values for it as P123 - those values are actually wrong.
So there is a discrepancy here one should be aware of.
You are correct. If you go to ETF on the top line, and enter SPY, then select Prices on the second line, you can click back and forth between Adjusted and No-Adjust for Dividends, to see where any dividend adjustment was made. That shows an adjustment of -$0.94 from 201.82 to 200.88 on 09/18/14, so the dividend was paid on the 19th.
If I’m reading this correctly, it’s because the simulation gives you credit for owning the security on the ex date in order to get a terminal value.
In a simulation, you get credit for dividends that would be paid after the end of the period if you qualify to receive them during the simulation. In this case, the simulation ended on 9/23/2014, so that’s when you were credited with the dividend.
Near as I can tell, that dividend is listed as going ex on 9/14/2014 and being paid on 10/31/2014 in our database. (But I’m not actually looking at the database that we use, just a more convenient one that I have visible to me, so I’m sure that Marco will correct me if that’s not right.)
EDIT: By the way, I took a look at the underlying portfolio of Best(SPY-SH) Gains for Up & Down Markets, which indeed lists a dividend for SPY as transaction 211. If you look, though, it’s currently at a value of zero, because while you will get the dividend, it won’t be added to the value of the live portfolio until it’s paid. The notes for the transaction say that it will be paid on 10/31/2014.
Denny, the dividend was not paid on the Sep-19. It will only be paid on Oct-31. That means you don’t have the money to re-invest now. Therefore the current dividend adjusted value of SPY is incorrect. It should only be adjusted when you can re-invest the money into SPY, that is when you get, i.e. on Oct-31.
pdemartino, you are correct, this is also what I observed, except for the ex-dividend date which I took from the P123 listing to be 9/19/2014.
The whole thing is not a big deal, but I just wanted to make people aware of the discrepancy.