Dividend adjusted historical prices

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luis_paulo_silva
luis_paulo_silva Newcomer
in Eikon Data APIs

From what i read in other posts historical prices are adjusted only for splits and not dividends. Is there any way to get dividend adjusted data?

Something like the 10,000 usd reinvested one can get using the eikon desktop app would be enough if EOD data is available.

This is a major problem for me. Is there any alternative?

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭
    Answer ✓

    I'm not sure I quite understand this part of the question: "Something like the 10,000 usd reinvested one can get using the eikon desktop app would be enough if EOD data is available". Perhaps what you're looking for is total return on a stock? If this is the case you can get total return from Eikon Data API using the field TR.TotalReturn. E.g. this will give the total return on Thomson Reuters stock between 01-JAN-17 and 01-JAN-18:

    ek.get_data(['TRI.N'],['TR.TotalReturn'],{'SDate':'2017-01-01', 'EDate':'2018-01-01'})
    You may also want to look at this thread.

Answers

  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭

    The practice of what to consider a capital change event requiring stock price adjustment differs by market. E.g. in Brazil the market practice is to adjust stock price histories for dividends whereas in the US the practice is to exclude dividends from capital changes requiring adjustment of a stock price history. If the practice for the market you're interested in is to not adjust price history for dividends, you can always do the adjustment yourself: retrieve the price history, the dividend history and do the adjustment following the methodology of your choosing (e.g. subtract the dividend amount from the stock price).

  • luis_paulo_silva
    luis_paulo_silva Newcomer

    @Alex Putkov.1

    Thank you for the answer.

    If the practice for the market you're interested in is to not adjust price history for dividends, you can always do the adjustment yourself

    I figured as such but dividend adjusting the historical price of all stocks of the russel 2000 is somewhat troublesome. Even if i can hypothetically do that with one or two for loops i guess that is not what i was expecting from Eikon.

    Even if the US Market uses only split adjusted data i see no reason for split-dividend adjusted data to not be available.

    Split-Dividend adjusted data is essencial for backtesting and portfolio optimization and i'm somewhat puzzed this is not getting more attention (services like Quantopian seem to understand that).

    In respect to the total return, what i meant was growth data would be enough for me, even if it was normalized to say, 10,000. The price per se is not necessary, as i normalize it to run the optimization.

  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭
    https://community.developers.refinitiv.com/discussion/comment/32903#Comment_32903

    @luis_paulo_silva
    Thank you very much for your feedback. Since it is about content available through Eikon and not about APIs, which is what this forum is dedicated to, I suggest you raise it with Refinitiv Helpdesk. You can reach the Helpdesk by either calling the Helpdesk number in your country or by using Contact Us capability in your Eikon application.

  • luis_paulo_silva
    luis_paulo_silva Newcomer

    @Alex Putkov.1

    Again, thank you for the quick response. I will follow through with your recomendation and contact the help desk.

    For future reference the API call I was making was:

    SPY = ek.get_timeseries(["SPY"],
                            "Close",
                            start_date="2016-12-30",  
                            end_date="2017-12-31")

    Which returns close data unadjusted for dividends/distributions.

    P.S. - From what i gathered European ETF and mutual Funds are also dividend/distribution unadjusted.

  • Wan Po.Lee
    Wan Po.Lee LSEG

    @luis_paulo_silva For funds, including ETFs, you can get the performances of
    the fund and then derive its “adjusted historical prices). Because the performance provided by Lipper
    is by-default the total return that reflects dividends (reinvested on ex-div
    date) and other cooperate actions such as unit split/merge. However, for historical rolling performances,
    only weekly performances are available for 5-year period or shorter and only
    monthly performances for longer period.

  • s.klein
    s.klein Newcomer

    @luis_paulo_silva is not the only person interested in dividend adjusted data. Imho it is one of the major drawbacks of Eikon, and something that tradingview and stockcharts offers for free! You cannot properly utilize technical indicators on equities if your underlying data is not adjusted for cash dividends - a signal can be generated improperly simply by the underlying equity going 'ex-dividend'. The total return function does not give the OHLC prices, and having to pull all of the data and calculate on my own is burdensome and seems like reinventing the wheel.

  • thomas01
    thomas01 Newcomer
    https://community.developers.refinitiv.com/discussion/comment/35449#Comment_35449
    Just wondering if someone has taken a look at this problem and can shed some light onto it? @s.klein @luis_paulo_silva you are right, I had thought this application is relatively "standard" and would like the refinitiv support to help out on it. Have you guys managed to solve it? I'm actually looking for an example to reconstruct the adjusted close (both split and dividend)
  • s.klein
    s.klein Newcomer

    I don't think any solution has been provided. Still a major failing of this platform.

  • maximilian.syndikus
    maximilian.syndikus Newcomer

    This is the same for the Datascope Select API. When sending a request with the condition "adjustedPrices: true", it does not adjust for cash dividends

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