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I have a historical list of index components, so I'm just adding up market caps of those to get a proxy for the index. However, when I check it against Bloomberg, my returns are consistently higher - is there anything else I'm missing? Alternatively, is there a way to get index divisor timeseries from some source?

UPDATE: Thanks to @MatthewGunn for pointing it out: one has to account for the corporate events: on a given day I can compare the total market cap using today float and today's vs yesterday's prices and use this ratio to adjust the overall market cap. That removes jumps in index return series, but still getting much higher returns that the benchmark. Is there anything else I should be aware of?

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    $\begingroup$ Percent change in market cap isn't the same as a return because of share issuance, buybacks, and distributions. Am I misreading this and you're actually using returns and market cap weights? Also be careful about timing (when market cap weights come from)? $\endgroup$ – Matthew Gunn Sep 26 '18 at 16:01
  • $\begingroup$ @MatthewGunn Thanks - these are all relevant questions. So say the float changes b/c of a corporate action, e.g. a buyback. How does one account for that? $\endgroup$ – LazyCat Sep 26 '18 at 16:12
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    $\begingroup$ Are you reinvesting dividends? Russell 2000 includes dividends but it is not total return index (meaning that compounding dividend payments by reinvesting are not included in the index price). There is a separate Russell 2000 Total Return Index that includes reinvestment of dividends. This could make a big difference over time unless I'm mistaken. $\endgroup$ – amdopt Sep 26 '18 at 18:05
  • $\begingroup$ @amdopt - thanks, yes, I'm not reinvesting the dividends in my calculation $\endgroup$ – LazyCat Sep 26 '18 at 19:04
  • $\begingroup$ @MatthewGunn I think, I've got the corporate actions as well as I can - what exactly do you mean by market cap timing? Do you mean one has to look at the dollar weight on the day of rebalance, convert it to shares and keep those constant? $\endgroup$ – LazyCat Sep 26 '18 at 20:03

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